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 dYt = −λYtdt+σdWtH, where (WtH,t ≥ 0) is the fractional Brownian motion. For the estimation of the drift λ, the results are obtained only in the case when 1 < H < 3. This paper also provides ready-to-use software for the R statistical environment based on the YUIMA package.

Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package / A. Brouste, S.M. Iacus. - In: COMPUTATIONAL STATISTICS. - ISSN 0943-4062. - 28:4(2013), pp. 1529-1547. [Epub ahead of print] [10.1007/s00180-012-0365-6]

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

S.M. Iacus
Ultimo
2013

Abstract

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 dYt = −λYtdt+σdWtH, where (WtH,t ≥ 0) is the fractional Brownian motion. For the estimation of the drift λ, the results are obtained only in the case when 1 < H < 3. This paper also provides ready-to-use software for the R statistical environment based on the YUIMA package.
fractional gaussian noise ; inference for stochastic processes ; estimation
Settore SECS-S/01 - Statistica
Settore MAT/06 - Probabilita' e Statistica Matematica
Article (author)
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/212605
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 41
  • ???jsp.display-item.citation.isi??? 39
social impact