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

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