mmfrac: mmfrac

In yuima: The YUIMA Project Package for SDEs

mmfrac

Description

Estimates the drift of a fractional Ornstein-Uhlenbeck and, if necessary, also the Hurst and diffusion parameters.

Usage

mmfrac(yuima, ...)

Arguments

yuima	a yuima object.
...	arguments passed to qgv.

Details

Estimates the drift of s fractional Ornstein-Uhlenbeck and, if necessary, also the Hurst and diffusion parameters.

Value

an object of class mmfrac

Author(s)

The YUIMA Project Team

References

Brouste, A., Iacus, S.M. (2013) Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package, Computational Statistics, pp. 1129–1147.

See Also

See also qgv.

Examples

# Estimating all Hurst parameter, diffusion coefficient  and drift coefficient 
# in fractional Ornstein-Uhlenbeck

model<-setModel(drift="-x*lambda",hurst=NA,diffusion="theta")
sampling<-setSampling(T=100,n=10000)
yui1<-simulate(model,true.param=list(theta=1,lambda=4),hurst=0.7,sampling=sampling)
mmfrac(yui1)

yuima documentation built on Nov. 14, 2022, 3:02 p.m.