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seen Mar 13 at 18:14

Mar
13
comment MLE estimate of normal distribution
Richard - I agree to some sense. However, I see people using MLE a lot in practice, but the statement indicates that the estimates are not close enough for small samples and specially for non-expoential distributions.
Mar
13
comment MLE estimate of normal distribution
In fact this sentence "which means that when minimum variance unbiased estimators exist, they will be MLEs." is what does not make sense.
Mar
13
comment MLE estimate of normal distribution
You argument is irrelevant to my question. The statement is that if there is a sufficient statistic for an exponential distribution that would be MLE.
Mar
13
awarded  Curious
Mar
12
asked MLE estimate of normal distribution
Apr
4
awarded  Critic
Apr
4
awarded  Custodian
Apr
4
reviewed Approve Obtaining a consistent covariance matrix for stochastic volatility processes
Apr
3
comment Obtaining a consistent covariance matrix for stochastic volatility processes
I thought of using a constant correlation matrix and generating covariance matrix using this and individual volatilities. But I think you should let the correlation changes too when the stochastic volatility changes. For instance, when stock A becomes highly volatile probably its correlation structure breaks down and becomes uncorrelated. In a nutshell, how would you reconcile your estimated volatility models in a covariance matrix.
Apr
3
comment Obtaining a consistent covariance matrix for stochastic volatility processes
I know it should be positive definite. My question is that how should I make sure the stochastic volatility models that I estimate for individual stocks does not disturb positive definite character of the matrix. Assume stock A,B are Garch(1,1) while stock C has constant volatility. As I perceived from Hull book this might make the covariance matrix inconsistent ( non-positive definite).
Apr
3
asked Obtaining a consistent covariance matrix for stochastic volatility processes
Mar
29
comment How to derive the implied probability distribution from B-S volatilities?
The first derivative also gives the CDF at 5 points, right? what are the advantages of using second derivative?
Mar
22
comment Credit risk data
Thank you I found them right there
Mar
22
accepted Credit risk data
Mar
21
comment Central Limit Theorem and Lévy processes
I am not persuaded yet. For instance, I believe that VG process has first 4 moments and is self-decomposable, so each T can be devided to T/N intervals with characteristic function of power T/N. you can increase N enough to get CLT for any length of T so the process should be gaussian but it is VG. What am I missing?
Mar
21
asked Credit risk data
Mar
21
comment Central Limit Theorem and Lévy processes
Right, I have an elementary understanding of these processes so correct me if I am wrong. The only condition for the iid distributions is having finite variance, so for example VG process has finite variance and it is self-decomposable ( so you can divide it to N iid over a period). Why it is not normal? I mean should not it contradict itself?
Mar
21
comment Central Limit Theorem and Lévy processes
let me reword my question, I am still not convinced in that how central limit theorem fails for all those Levy processes which have not normal distribution ( VG process as an example). I believe CLT needs many i.i.d distributions to be summed. Self-decomposablity says for time T you can break it down to sum of N many T/N distributions. So I say that how sum of these N i.i.d is not normal?
Mar
21
awarded  Commentator
Mar
21
comment Correlation decay in lognormal distribution
Sorry that's right. Variance increase with square root of time.