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

Author

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  • Alexandre BROUSTE
  • Stefano Maria IACUS

Abstract

This paper proposes consistent and asymptotically Gaussian estimators for the parameters lambda, sigma and H of the discretely observed fractional Ornstein-Uhlenbeck process solution of the stochastic differential equation dY_t = -lambda Y_t dt + sigma dW_t^H, where (W_t^H, t>= 0) is the fractional Brownian motion. For the estimation of the drift lambda, the results are obtained only in the case when 1/2

Suggested Citation

  • Alexandre BROUSTE & Stefano Maria IACUS, 2011. "Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package," Departmental Working Papers 2011-42, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    • Handle: RePEc:mil:wpdepa:2011-42
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