Simulation and Inference for Stochastic Processes with YUIMA A Comprehensive R Framework for SDEs and Other Stochastic Processes /

• Main Authors: Iacus, Stefano M. (Author, http://id.loc.gov/vocabulary/relators/aut), Yoshida, Nakahiro (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: Use R!,
• Subjects: Statistics .; Mathematical statistics.; Probabilities.; Statistics and Computing/Statistics Programs.; Probability and Statistics in Computer Science.; Probability Theory and Stochastic Processes.

The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA processes. The package performs various central stat...

Table of Contents:

• 1 Introduction
• 2 Diffusion processes
• 3 Compound Poisson processes
• 4 Stochastic differential equations driven by Lévy processes
• 5 Stochastic differential equations driven by the fractional Brownian motion
• 6 CARMA models
• 7 COGARCH models
• Reference
• Index.