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

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Hlavní autor: Iacus, Stefano M. (Autor)
Médium: Elektronický zdroj E-kniha
Jazyk:angličtina
Vydáno: Cham : Springer International Publishing, 2018.
Vydání:1st ed. 2018.
Edice:Use R!,
Témata:
Statistics .
Mathematical statistics.
Probabilities.
ISBN:9783319555690
ISSN:2197-5736
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Obsah:
  • 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.

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