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arXiv · 1112.3777

Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

Alexandre Brouste·Stefano M. Iacus
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Abstract

This paper proposes consistent and asymptotically Gaussian estimators for the drift, the diffusion coefficient and the Hurst exponent of the discretely observed fractional Ornstein-Uhlenbeck process. For the estimation of the drift, 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.

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Alexandre Brouste, Stefano M. Iacus. 2011-12-16. Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package. https://arxiv.org/abs/1112.3777

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