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 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.