Implementation of Lévy CARMA model in \texttt{yuima} package
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Publication:906147
Abstract: The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general L'evy Continuous Autoregressive Moving Average (CARMA) model. The flexibility of the package is due to the fact that the user is allowed to choose several parametric L'evy distribution for the increments. Some numerical examples are given in order to explain the main classes and the corresponding methods implemented in yuima package for the CARMA model.
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Cited in
(7)- Simulation and Inference for Stochastic Processes with YUIMA
- Implicit expectiles and measures of implied volatility
- Aspects of non-causal and non-invertible CARMA processes
- Finite mixture approximation of CARMA(p,q) models
- Noise inference for ergodic Lévy driven SDE
- Lévy CARMA models for shocks in mortality
- Estimation of Lévy CARMA models in the \texttt{yuima} package: application on the financial time series
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