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Section: New Results

Dependence modeling

Estimation of the parameters of a Wishart process

Participants : Aurélien Alfonsi, Ahmed Kebaier, Clément Rey.

We have studied the Maximum Likelihood Estimator for the Wishart processes and in particular its convergence in the ergodic and in some non ergodic cases. In the non ergodic cases, our analysis rely on refined results on the Laplace transform for Wishart processes. Our work also extends the recent paper by Ben Alaya and Kebaier on the maximum likelihood estimation for the CIR process.