YUIMA swMATH ID: 11399 Software Authors: Brouste, Alexandre; Iacus, Stefano M. Description: 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. Homepage: http://cran.r-project.org/web/packages/yuima/index.html Source Code: https://github.com/cran/YUIMA Dependencies: R Related Software: R; Sim.DiffProc; Rugarch; sde; tseries; CRAN; highfrequency; Julia; JiTCSDE; zoo; fExoticOptions; rgl; knitr; DiffusionRimp; pomp; ctsem; ACDm; hawkes; acp; tscount Cited in: 46 Documents Standard Articles 3 Publications describing the Software, including 1 Publication in zbMATH Year Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package. Zbl 1306.65034Brouste, Alexandre; Iacus, Stefano M. 2013 all top 5 Cited by 72 Authors 7 Mercuri, Lorenzo 5 Iacus, Stefano Maria 4 Es-Sebaiy, Khalifa 4 Rroji, Edit 4 Shen, Guangjun 3 Masuda, Hiroki 3 Uehara, Yuma 3 Viitasaari, Lauri 3 Yu, Qian 2 Douissi, Soukaina 2 Kříž, Pavel 2 Mishura, Yuliya Stepanivna 2 Sun, Lin 2 Uchida, Masayuki 2 Viens, Frederi G. 2 Yin, Xiuwei 1 Alazemi, Fares 1 Ascione, Giacomo 1 Azmoodeh, Ehsan 1 Bailey, Richard M. 1 Bajja, Salwa 1 Barndorff-Nielsen, Ole Eiler 1 Basu, Sumanta 1 Bellini, Fabio 1 Brouste, Alexandre 1 Chen, Jianxin 1 Chiba, Kohei 1 Dutta, Chiranjit 1 Eguchi, Shoichi 1 Feng, Wenfeng 1 Fu, Pei 1 Fukasawa, Masaaki 1 Garcin, Matthieu 1 Gatheral, Jim 1 Hardy, Mary Rosalyn 1 Haress, El Mehdi 1 Hitaj, Asmerilda 1 Hu, Yaozhong 1 Jaisson, Thibault 1 Kaino, Yusuke 1 Kamatani, Kengo 1 Karpman, Kara J. 1 Kastner, Felix 1 Kubilius, Kȩstutis 1 Li, Yunmeng 1 Liu, Yanghui 1 Long, Hongwei 1 Lu, Xianggang 1 Ma, Chunhua 1 Maslowski, Bohdan 1 Modarresi, Navideh 1 Mohammadi, Mohammad Hassan 1 Nualart, Eulalia 1 Pakkanen, Mikko S. 1 Perchiazzo, Andrea 1 Pirozzi, Enrica 1 Ralchenko, Kostiantyn V. 1 Ravishanker, Nalini 1 Rezakhah, Saeid 1 Rosenbaum, Mathieu 1 Rößler, Andreas 1 Saunders, David Claude 1 Schmiegel, Jürgen 1 Seleznjev, Oleg 1 Shimizu, Yasutaka 1 Takabatake, Tetsuya 1 Tang, Zheng 1 Tindel, Samy 1 Wang, Lin 1 Wang, Qingbo 1 Yoshida, Nakahiro 1 Zhang, Saisai all top 5 Cited in 30 Serials 6 Statistical Inference for Stochastic Processes 4 Stochastic Processes and their Applications 3 Computational Statistics 3 Electronic Journal of Statistics 2 Statistical Papers 2 Quantitative Finance 2 Stochastics 1 Metrika 1 Physica A 1 Theory of Probability and its Applications 1 Statistics & Probability Letters 1 Journal of Time Series Analysis 1 Numerical Algorithms 1 Bernoulli 1 Fractional Calculus & Applied Analysis 1 Acta Mathematica Sinica. English Series 1 Communications in Nonlinear Science and Numerical Simulation 1 Decisions in Economics and Finance 1 Stochastics and Dynamics 1 North American Actuarial Journal 1 Advances in Difference Equations 1 Journal of the Korean Statistical Society 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Frontiers of Mathematics in China 1 SIAM Journal on Financial Mathematics 1 Sankhyā. Series B 1 Journal of Theoretical Biology 1 Understanding Complex Systems 1 Use R! 1 Advances in Continuous and Discrete Models all top 5 Cited in 16 Fields 36 Probability theory and stochastic processes (60-XX) 29 Statistics (62-XX) 6 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Numerical analysis (65-XX) 3 Systems theory; control (93-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) Citations by Year