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yuima (version 1.1.6)

The YUIMA Project Package for SDEs

Description

Simulation and Inference for Stochastic Differential Equations.

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Version

Install

install.packages('yuima')

Monthly Downloads

810

Version

1.1.6

License

GPL-2

Maintainer

Stefano Gary King

Last Published

September 10th, 2016

Functions in yuima (1.1.6)

Diagnostic.Cogarch

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

cogarch.info-class

Class for information about CoGarch(p,q)

CPoint

Volatility structural change point estimator

adaBayes

Adaptive Bayes estimator for the parameters in sde model

asymptotic_term

asymptotic expansion of the expected value of the functional

bns.test

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

carma.info-class

Class for information about CARMA(p,q) model

CarmaNoise

Estimation for the underlying Levy in a carma model

cce

Nonsynchronous Cumulative Covariance Estimator

cogarchNoise

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

LogSPX

Five minutes Log SPX prices

limiting.gamma

calculate the value of limiting covariance matrices : Gamma

model.parameter-class

Class for the parameter description of stochastic differential equations

hyavar

Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

mllag

Multiple Lead-Lag Detector

lasso

Adaptive LASSO estimation for stochastic differential equations

info.Ppr

Class for information about Point Process

info.Output-class

Class for information about Map/Operators

lambdaFromData

Intensity of a Point Process Regression Model

mmfrac

setData

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

MWK151

Graybill - Methuselah Walk - PILO - ITRDB CA535

noisy.sampling

Noisy Observation Generator

qgv

param.Output-class

Class for information about Map/Operators

phi.test

Phi-divergence test statistic for stochastic differential equations

rconst

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

qmle

Calculate quasi-likelihood and ML estimator of least squares estimator

poisson.random.sampling

Poisson random sampling method

setCharacteristic

Set characteristic information and create a `characteristic' object.

setSampling

Set sampling information and create a `sampling' object.

setYuima

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

setIntegral

Integral of Stochastic Differential Equation

simFunctional

Calculate the value of functional

setMap

Map of a Stochastic Differential Equation

setPoisson

Basic constructor for Compound Poisson processes

setPpr

Point Process

setFunctional

Description of a functional associated with a perturbed stochastic differential equation

setHawkes

Constructor of Hawkes model

simulate

Simulator function for multi-dimensional stochastic processes

yuima-class

Class for stochastic differential equations

yuima.carma.qmle-class

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

yuima.carma-class

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

yuima.data-class

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

yuima.characteristic-class

Classe for stochastic differential equations characteristic scheme

spectralcov

Spectral Method for Cumulative Covariance Estimation

yuima.functional-class

Classes for stochastic differential equations data object

toLatex

Additional Methods for LaTeX Representations for Yuima objects

yuima.cogarch-class

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

yuima.CP.qmle-class

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

yuima.Hawkes

Class for a mathematical description of a Point Process

yuima.poisson-class

Class for the mathematical description of Compound Poisson processes

yuima.sampling-class

Classes for stochastic differential equations sampling scheme

yuima.model-class

Classes for the mathematical description of stochastic differential equations

yuima.multimodel-class

Class for the mathematical description of Multi dimensional Jump Diffusion processes

yuima.Ppr

Class for a mathematical description of a Point Process

yuima.Output-class

Class for the mathematical description of function of a stochastic process