mmfrac function

mmfrac

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

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.

Returns

an object of class mmfrac

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.

Author(s)

The YUIMA Project Team

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)