⚠️There's a newer version (1.15.27) of this package.Take me there.

yuima (version 1.0.81)

The YUIMA Project Package for SDEs

Description

Simulation and Inference for Stochastic Differential Equations.

Copy Link

Version

Install

install.packages('yuima')

Monthly Downloads

810

Version

1.0.81

License

GPL-2

Maintainer

Stefano Gary King

Last Published

February 24th, 2016

Functions in yuima (1.0.81)

hyavar

Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

llag

Lead Lag Estimator

LogSPX

Five minutes Log SPX prices

carma.info-class

Class for information about CARMA(p,q) model

adaBayes

Adaptive Bayes estimator for the parameters in sde model

cogarch.info-class

Class for information about CoGarch(p,q)

qmle

Calculate quasi-likelihood and ML estimator of least squares estimator

yuima.functional-class

Classes for stochastic differential equations data object

cce

Nonsynchronous Cumulative Covariance Estimator

mpv

Realized Multipower Variation

setMaps

Maps of a Stochastic Differential Equation

bns.test

Barndorff-Nielsen and Shephard's Test for the Presence of Jumps Using Bipower Variation

setFunctional

Description of a functional associated with a perturbed stochastic differential equation

setYuima

Creates a "yuima" object by combining "model", "data", "sampling", "characteristic" and "functional"slots.

yuima.CP.qmle-class

Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models

setCarma

Continuous Autoregressive Moving Average (p, q) model

info.Output-class

Class for information about Map/Operators

yuima.model-class

Classes for the mathematical description of stochastic differential equations

setSampling

Set sampling information and create a `sampling' object.

yuima.cogarch-class

Class for the mathematical description of CoGarch(p,q) model

rconst

Fictitious rng for the constant random variable used to generate and describe Poisson jumps.

CarmaNoise

Estimation for the underlying Levy in a carma model

limiting.gamma

calculate the value of limiting covariance matrices : Gamma

CPoint

Volatility structural change point estimator

simFunctional

Calculate the value of functional

simulate

Simulator function for multi-dimensional stochastic processes

lasso

Adaptive LASSO estimation for stochastic differential equations

setData

Set and access data of an object of type "yuima.data" or "yuima".

Diagnostic.Cogarch

Function for checking the statistical properties of the COGARCH(p,q) model

yuima.carma-class

Class for the mathematical description of CARMA(p,q) model

model.parameter-class

Class for the parameter description of stochastic differential equations

setModel

Basic description of stochastic differential equations (SDE)

phi.test

Phi-divergence test statistic for stochastic differential equations

setCharacteristic

Set characteristic information and create a `characteristic' object.

noisy.sampling

Noisy Observation Generator

cogarchNoise

Estimation for the underlying Levy in a COGARCH(p,q) model

toLatex

Additional Methods for LaTeX Representations for Yuima objects

yuima-class

Class for stochastic differential equations

setPoisson

Basic constructor for Compound Poisson processes

yuima.multimodel-class

Class for the mathematical description of Multi dimensional Jump Diffusion processes

spectralcov

Spectral Method for Cumulative Covariance Estimation

setMultiModel

Multidimensional Jump Diffusion Model

yuima.sampling-class

Classes for stochastic differential equations sampling scheme

asymptotic_term

asymptotic expansion of the expected value of the functional

yuima.carma.qmle-class

Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) model

yuima.data-class

Class "yuima.data" for the data slot of a "yuima" class object

yuima.Output-class

Class for the mathematical description of function of a stochastic process

subsampling

mmfrac

rng

Random numbers and densities

MWK151

Graybill - Methuselah Walk - PILO - ITRDB CA535

mllag

Multiple Lead-Lag Detector

poisson.random.sampling

Poisson random sampling method

qgv

param.Output-class

Class for information about Map/Operators

setCogarch

Continuous-time GARCH (p,q) process

yuima.characteristic-class

Classe for stochastic differential equations characteristic scheme

yuima.poisson-class

Class for the mathematical description of Compound Poisson processes