Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
Computation
2011-12-19 v1 Statistics Theory
Other Statistics
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1112.3777,
title = {Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package},
author = {Alexandre Brouste and Stefano M. Iacus},
journal= {arXiv preprint arXiv:1112.3777},
year = {2011}
}
Comments
15 pages, 1 figure