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)