The Yuima Project is an open source and collaborative e ort aimed at developing the R package named yuima for simulation and inference of stochastic di erential equations. In the yuima package, stochastic di erential equations can be of very abstract type, multidimensional, driven by Wiener process or fractional Brownian motion with general Hurst parameter, with or without jumps speci ed as L evy noise. The yuima package is intended to o er the basic infrastructure on which complex models and inference procedures can be built on. The computational framework implemented allow for the estimation of high frequency data and also o er the ability to perform Monte Carlo anal- ysis using cluster infrastructure whenever available in a transparent way to the user. Some real examples of model implementation and data estimation will be considered
The YUIMA project : a computational framework for simulation and inference of stochastic differential equations / A. Brouste, M. Fukasawa, H. Hino, S.M. Iacus, K. Kamatani, Y. Koike, R. Nomura, Y. Shimizu, M. Uchida, N. Yoshida. - In: JOURNAL OF STATISTICAL SOFTWARE. - ISSN 1548-7660. - 57:4(2014), pp. 1-51.
The YUIMA project : a computational framework for simulation and inference of stochastic differential equations
S.M. Iacus;
2014
Abstract
The Yuima Project is an open source and collaborative e ort aimed at developing the R package named yuima for simulation and inference of stochastic di erential equations. In the yuima package, stochastic di erential equations can be of very abstract type, multidimensional, driven by Wiener process or fractional Brownian motion with general Hurst parameter, with or without jumps speci ed as L evy noise. The yuima package is intended to o er the basic infrastructure on which complex models and inference procedures can be built on. The computational framework implemented allow for the estimation of high frequency data and also o er the ability to perform Monte Carlo anal- ysis using cluster infrastructure whenever available in a transparent way to the user. Some real examples of model implementation and data estimation will be consideredFile | Dimensione | Formato | |
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