Simulation and inference for stochastic differential equations. With R examples.

zbMATH Open1210.62112MaRDI QIDQ2465367FDOQ2465367

Publication date: 3 January 2008

Published in: Springer Series in Statistics (Search for Journal in Brave)

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Cited In (only showing first 100 items - show all)

On a family of test statistics for discretely observed diffusion processes
Adaptive test statistics for ergodic diffusion processes sampled at discrete times
Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process
A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation
Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
Inference on an heteroscedastic Gompertz tumor growth model
Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
Simplified simplicial depth for regression and autoregressive growth processes
Bidimensional random effect estimation in mixed stochastic differential model
Stochastic modeling of damage evolution in composites under environmental ageing
Adaptive methods for stochastic differential equations via natural embeddings and rejection sampling with memory
Clustering of discretely observed diffusion processes
Introduction to Stochastic Models in Biology
A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
Goodness-of-fit test for interest rate models: an approach based on empirical processes
Adaptive test for ergodic diffusions plus noise
Empirical \(L^2\)-distance test statistics for ergodic diffusions
Variational estimation of the drift for stochastic differential equations from the empirical density
Polynomial chaos expansion approach to interest rate models
High-order approximation of Pearson diffusion processes
Parameter estimation for diffusion process from perturbed discrete observations
Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data
Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes
Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
Parameter estimation for the stochastic SIS epidemic model
Simulation and Inference for Stochastic Processes with YUIMA
STOCHASTICITY AND COOPERATIVE HUNTING IN PREDATOR–PREY INTERACTIONS
Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
A transformation approach to modelling multi-modal diffusions
Title not available (Why is that?)
Ultimate efficiency of experimental designs for Ornstein-Uhlenbeck type processes
Generalized moment estimation of stochastic differential equations
The least squares estimation for the \(\alpha\)-stable Ornstein-Uhlenbeck process with constant drift
Goodness–of–Fit Test for Stochastic Volatility Models
Enhancing noise-induced switching times in systems with distributed delays
Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
Analysis of crack growth with robust, distribution-free estimators and tests for non-stationary autoregressive processes
A Hybrid Multiscale Model for Cancer Invasion of the Extracellular Matrix
Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
sde
Randomised mixture models for pricing kernels
Statistical inference for dynamical systems: a review
Stochastic modeling of stratospheric temperature
A high-order discontinuous Galerkin method for Itô stochastic ordinary differential equations
Parametric estimation for planar random flights
Langevin diffusions on the torus: estimation and applications
An angle-based multivariate functional pseudo-depth for shape outlier detection
Estimation for the change point of volatility in a stochastic differential equation
Title not available (Why is that?)
Indirect inference in fractional short-term interest rate diffusions
Bayesian inference for multistate `step and turn' animal movement in continuous time
A note on convergence rate of a linearization method for the discretization of stochastic differential equations
On short-term loan interest rate models: a first passage time approach
Local linear suppression for wireless sensor network data
Parameter estimation for stochastic partial differential equations of second order
First order strong approximations of scalar SDEs defined in a domain
Transition Density and Simulated Likelihood Estimation for Time-Inhomogeneous Diffusions
Bottom-Up Transient Time Models in Coarse-Graining Molecular Systems
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
Development of a restricted state space stochastic differential equation model for bacterial growth in rich media
Maximum likelihood estimation of diffusions by continuous time Markov chain
Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
Iterative methods for nonlinear systems associated with finite difference approach in stochastic differential equations
Parameter Estimation for Macroscopic Pedestrian Dynamics Models from Microscopic Data
Sovereign risk in the Euro area: a multivariate stochastic process approach
An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA
Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
A revisit of stochastic theta method with some improvements
Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme
Weak approximation of transformed stochastic gradient MCMC
Variational inference of the drift function for stochastic differential equations driven by Lévy processes
Stability preserving data-driven models with latent dynamics
Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk
Chaotic systems with asymmetric heavy-tailed noise: application to 3D attractors
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
DynGMA: a robust approach for learning stochastic differential equations from data
Monitoring change point for diffusion parameter based on discretely observed sample from stochastic differential equation models
Epidemic modeling: Diffusion approximation vs. stochastic differential equations allowing reflection
Quantifying model uncertainty for the observed non-Gaussian data by the Hellinger distance
Credit default swap spreads modeling and forecasting with a stochastic square-root three-factor model
Title not available (Why is that?)
Stochastic functional linear models and Malliavin calculus
Nonparametric inference for diffusion processes in systems with smooth evolution
Parameter estimation for stochastic wave equation based on observation window
Partially observable Markov decision process for perimeter control based on a stochastic macroscopic fundamental diagram
Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data
Parameter estimation for non-stationary Fisher-Snedecor diffusion
Maximum likelihood estimators in linear regression models with Ornstein-Uhlenbeck process
Variational Inference for Stochastic Differential Equations
Maximum likelihood estimation for a stochastic SEIR system with a COVID-19 application
Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
Deconvolution of ℙ( X _t < Y _t ) for stationary processes with supersmooth error distributions
Diffusion Schrödinger bridges for Bayesian computation
Proportional stochastic generalized Lotka-Volterra model with an application to learning microbial community structures
A hybrid epidemic model to explore stochasticity in COVID-19 dynamics
Threshold models for Lévy processes and approximate maximum likelihood estimation
Memory-based parameterization with differentiable solver: application to Lorenz '96

Uses Software

R
S-PLUS
ISwR

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