YUIMA
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Software:23344
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Source code repository: https://github.com/cran/YUIMA
Related Items (44)
Representation of stationary and stationary increment processes via Langevin equation and self-similar processes ⋮ Unnamed Item ⋮ Noise inference for ergodic Lévy driven SDE ⋮ Simulation and Inference for Stochastic Processes with YUIMA ⋮ Semi-Lévy driven continuous-time GARCH process ⋮ Volatility is rough ⋮ A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean ⋮ Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) ⋮ Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations ⋮ Time-changed fractional Ornstein-Uhlenbeck process ⋮ A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations ⋮ Implementation of Lévy CARMA model in \texttt{yuima} package ⋮ An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Implicit expectiles and measures of implied volatility ⋮ Assessing relative volatility/ intermittency/energy dissipation ⋮ Updating Wilkie’s Economic Scenario Generator for U.S. Applications ⋮ Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Unifying relationships between complexity and stability in mutualistic ecological communities ⋮ Two-step estimation of ergodic Lévy driven SDE ⋮ Least squares estimators for stochastic differential equations driven by small Lévy noises ⋮ Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models ⋮ LAN property for stochastic differential equations with additive fractional noise and continuous time observation ⋮ Optimal rates for parameter estimation of stationary Gaussian processes ⋮ Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation ⋮ Hybrid estimators for small diffusion processes based on reduced data ⋮ Estimation of all parameters in the fractional Ornstein-Uhlenbeck model under discrete observations ⋮ Estimating reducible stochastic differential equations by conversion to a least-squares problem ⋮ Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Berry-Ess\'een bounds for parameter estimation of general Gaussian processes ⋮ Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations ⋮ Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions ⋮ Data driven time scale in Gaussian quasi-likelihood inference ⋮ Lévy CARMA models for shocks in mortality ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations ⋮ Finite Mixture Approximation of CARMA(p,q) Models ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets ⋮ Hybrid multi-step estimators for stochastic differential equations based on sampled data
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