This paper presents an estimation and simulation method in the R package yuima for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. This process finds applications in several fields, for example finance, physics, biology, etc. The first challenge involves simulating sample paths at high-frequency levels, as only unit-time increments are Student-t distributed. In yuima, we solve this problem by means of the inverse Fourier transform for simulating the increments of a Student-t Lévy defined on an interval with any length. The second challenge is the joint estimation of trend, scale, and degrees of freedom, a problem not previously explored in the literature. In yuima, we develop a two-step estimation procedure that efficiently deals with this issue. Numerical examples are given in order to explain methods and classes used in the yuima package.

Student t-Lévy regression model in yuima / H. Masuda, L. Mercuri, Y. Uehara. - In: THE R JOURNAL. - ISSN 2073-4859. - 17:2(2025 Jun), pp. 56-83. [10.32614/rj-2025-014]

Student t-Lévy regression model in yuima

L. Mercuri
Secondo
;
2025

Abstract

This paper presents an estimation and simulation method in the R package yuima for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. This process finds applications in several fields, for example finance, physics, biology, etc. The first challenge involves simulating sample paths at high-frequency levels, as only unit-time increments are Student-t distributed. In yuima, we solve this problem by means of the inverse Fourier transform for simulating the increments of a Student-t Lévy defined on an interval with any length. The second challenge is the joint estimation of trend, scale, and degrees of freedom, a problem not previously explored in the literature. In yuima, we develop a two-step estimation procedure that efficiently deals with this issue. Numerical examples are given in order to explain methods and classes used in the yuima package.
Settore STAT-04/A - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
   The effects of climate change in the evaluation of financial instruments
   MINISTERO DELL'UNIVERSITA' E DELLA RICERCA
   20225PC98R_003
giu-2025
set-2025
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/1243115
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