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

• Κύριοι συγγραφείς: Iacus, Stefano M. (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut), Yoshida, Nakahiro (http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Έκδοση: 1st ed. 2018.
• Σειρά: Use R!,
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.