Simulation and Inference for Stochastic Processes with YUIMA

DOI10.1007/978-3-319-55569-0MaRDI QIDQ3174849zbMATH OpenOpenAlexFDO

Authors Stefano M. Iacus, Nakahiro Yoshida

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Theory of programming languages (68N15) Software, source code, etc. for problems pertaining to probability theory (60-04) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Foundations of stochastic processes (60G05)

Recommendations

• Simulation and inference for stochastic differential equations. With R examples.
• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
• Simulation and estimation for the fractional Yule process
• Implementation of Lévy CARMA model in \texttt{yuima} package
• Stochastic processes with R. An introduction
• Simulation and inference for stochastic volatility models driven by Levy processes
• scientific article; zbMATH DE number 1278388
• Introduction to stochastic processes with R
• Recursive Simulation of Stationary Multivariate Random Processes—Part II

Cited in

(22)

• 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
• Simulation and inference for stochastic differential equations. With R examples.
• Regularized bridge-type estimation with multiple penalties
• Quasi-likelihood analysis and its applications
• On parameter estimation of diffusion-type processes: sequential estimation revisited
• Asymptotic expansion and estimates of Wiener functionals
• Global Optimization via Schrödinger–Föllmer Diffusion
• scientific article; zbMATH DE number 7660132 (Why is no real title available?)
• 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
• Implementation of Lévy CARMA model in \texttt{yuima} package
• Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework
• Inference on a stochastic SIR model including growth curves
• Aspects of non-causal and non-invertible CARMA processes
• Review of statistical approaches for modeling high-frequency trading data
• Noise inference for ergodic Lévy driven SDE
• High order asymptotic expansion for Wiener functionals
• Estimation of Lévy CARMA models in the \texttt{yuima} package: application on the financial time series
• An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox

Describes a project that uses

Uses Software

• COGARCH.rm
• Rugarch
• YUIMA
• fExoticOptions
• timeSeries
• tseries
• CRAN
• R

This page was built for publication: Simulation and Inference for Stochastic Processes with YUIMA

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3174849)