YUIMA
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Software:23344
swMATH11399MaRDI QIDQ23344FDOQ23344
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Source code repository: https://github.com/cran/YUIMA
Cited In (44)
- 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
- Updating Wilkie’s Economic Scenario Generator for U.S. Applications
- Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
- 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
- Finite Mixture Approximation of CARMA(p,q) Models
- Volatility is rough
- Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
- 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
- Berry-Ess\'een bounds for parameter estimation of general Gaussian processes
- Title not available (Why is that?)
- LAN property for stochastic differential equations with additive fractional noise and continuous time observation
- 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
- Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
- 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
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
- 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
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