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You can do it with 6 data points. However two caveats: 1) With returns no evenly spaced apart you need some adjustments. This topic might help. 2) With only six data points you will get huge standard deviations, so almost sure your statistics will not be significant and you cannot do anything with them.


EDIT: My reasoning below seems to be wrong. The process as you write it tends to infinity if $a$ is big enough and positive and if $\lambda_0$ is positive. I would not call this process non-meanreverting OU. It is just an Ito process of a simple form. If we remove the stochastic part then we get $$ d\lambda_t = a \lambda_t dt $$ with the solution (if ...

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