Simulation and Inference for Stochastic Processes with YUIMA
DOI10.1007/978-3-319-55569-0zbMATH Open1458.60004OpenAlexW4230352642MaRDI QIDQ3174849FDOQ3174849
Nakahiro Yoshida, Stefano M. Iacus
Publication date: 18 July 2018
Published in: Use R! (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-55569-0
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samplingsimulationtime serieschange point estimationWiener processstochastic differential equationfractional Brownian motiondiffusion processparametric inferencesimulation modelsmultidimensional compound Poisson processcompound Poisson processCARMA modelsgeneralised hyperbolic processLévy processesasynchronous covariance estimationCOGARCH modelslead-lag estimationtime stampsYUIMA package
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Cited In (17)
- Hybrid estimation for ergodic diffusion processes based on noisy discrete observations
- Gaussian quasi-information criteria for ergodic Lévy driven SDE
- Empirical \(L^2\)-distance test statistics for ergodic diffusions
- Regularized bridge-type estimation with multiple penalties
- Quasi-likelihood analysis and its applications
- Global Optimization via Schrödinger–Föllmer Diffusion
- Asymptotic expansion and estimates of Wiener functionals
- Aspects of non‐causal and non‐invertible CARMA processes
- Title not available (Why is that?)
- Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function
- Global jump filters and quasi-likelihood analysis for volatility
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates
- Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework
- Review of statistical approaches for modeling high-frequency trading data
- Noise inference for ergodic Lévy driven SDE
- High order asymptotic expansion for Wiener functionals
- An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
Uses Software
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