Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package. This paper proposes consistent and asymptotically Gaussian estimators for the parameters λ, σ and H of the discretely observed fractional Ornstein-Uhlenbeck process solution of the stochastic differential equation dY t =-λY t dt+σdW t H , where (W t H ,t≥0) is the fractional Brownian motion. For the estimation of the drift λ, the results are obtained only in the case when 1 2<H<3 4. This paper also provides ready-to-use software for the R statistical environment based on the YUIMA package.
Keywords for this software
References in zbMATH (referenced in 5 articles , 1 standard article )
Showing results 1 to 5 of 5.
- Viitasaari, Lauri: Representation of stationary and stationary increment processes via Langevin equation and self-similar processes (2016)
- Azmoodeh, Ehsan; Viitasaari, Lauri: Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind (2015)
- Iacus, Stefano M.; Mercuri, Lorenzo: Implementation of Lévy CARMA model in yuima package (2015)
- Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen: Assessing relative volatility/ intermittency/energy dissipation (2014)
- Brouste, Alexandre; Iacus, Stefano M.: Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package (2013)