YUIMA

swMATH11399MaRDI QIDQ23344FDOQ23344

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Official website: http://cran.r-project.org/web/packages/yuima/index.html

Source code repository: https://github.com/cran/YUIMA

Described by source

• Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

Cited In (73)

• Assessing relative volatility/ intermittency/energy dissipation
• Maximum likelihood estimators of a long-memory process from discrete observations
• Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions
• Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
• Data driven time scale in Gaussian quasi-likelihood inference
• Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations
• Two-step estimation of ergodic Lévy driven SDE
• Least squares estimators for stochastic differential equations driven by small Lévy noises
• Hybrid estimators for small diffusion processes based on reduced data
• Semi-Lévy driven continuous-time GARCH process
• Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
• Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation
• Simulation and Inference for Stochastic Processes with YUIMA
• Optimal rates for parameter estimation of stationary Gaussian processes
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• Time-changed fractional Ornstein-Uhlenbeck process
• Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems
• Volatility is rough
• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• ItoProcess
• Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• MATLAB Financial Toolbox
• fExoticOptions
• RQuantLib
• VarianceGamma
• PSM
• ctarma
• ppstat
• ctsem
• Sim.DiffProc
• sde
• SDE-Solver
• Langevin
• NHPoisson
• JiTCSDE
• highfrequency
• MsdeParEst
• COGARCH.rm
• MSGARCH
• hawkes
• SimEstFBM
• DiffusionRimp
• KramersMoyal
• ACDm
• sdeint
• SODECL
• mixedsde
• LAN property for stochastic differential equations with additive fractional noise and continuous time observation
• LevyArea.jl
• SDEModels.jl
• Unifying relationships between complexity and stability in mutualistic ecological communities
• Implementation of Lévy CARMA model in \texttt{yuima} package
• Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
• Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
• Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind
• Implicit expectiles and measures of implied volatility
• Berry-Esseen bounds for parameter estimation of general Gaussian processes
• Hybrid multi-step estimators for stochastic differential equations based on sampled data
• Noise inference for ergodic Lévy driven SDE
• Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter
• Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations
• Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
• Lévy CARMA models for shocks in mortality
• Estimating reducible stochastic differential equations by conversion to a least-squares problem
• Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
• An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
• Updating Wilkie’s Economic Scenario Generator for U.S. Applications
• Finite mixture approximation of CARMA(p,q) models
• Estimation of Lévy CARMA models in the \texttt{yuima} package: application on the financial time series
• Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion

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