Maximum likelihood estimation for Wishart processes
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References listed on IDEAS
- Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
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More about this item
KeywordsWishart processes; Laplace transform; Parameter inference; Maximum likelihood; Limit theorems; Local asymptotic properties;
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