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Simulation and Inference for Stochastic Processes with YUIMA: A Comprehensive R Framework for SDEs and Other Stochastic Processes
Stefano M. Iacus
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Description for Simulation and Inference for Stochastic Processes with YUIMA: A Comprehensive R Framework for SDEs and Other Stochastic Processes
Paperback. .
The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of ... Read more
The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of ... Read more
Product Details
Publisher
Springer International Publishing AG Switzerland
Number of pages
251
Format
Paperback
Publication date
2018
Series
Use R!
Condition
New
Number of Pages
268
Place of Publication
Cham, Switzerland
ISBN
9783319555676
SKU
V9783319555676
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Stefano M. Iacus
Stefano M. Iacus, PhD, is full professor of statistics in the Department of Economics, Management and Quantitative Methods at the University of Milan. He has been a member of the R Core Team (1999-2014) for the development of the R statistical environment and is now a member of the R Foundation. His research interests include inference for stochastic processes, simulation, computational statistics, causal inference, text ... Read more
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