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yuima (version 1.15.15)

The YUIMA Project Package for SDEs

Description

Simulation and Inference for SDEs and Other Stochastic Processes.

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Version

Install

install.packages('yuima')

Monthly Downloads

594

Version

1.15.15

License

GPL-2

Maintainer

Stefano M. Iacus

Last Published

September 9th, 2022

Functions in yuima (1.15.15)

Integrand

Class for the mathematical description of integral of a stochastic process

DataPPR

From zoo data to yuima.PPR.

Integral.sde

Class for the mathematical description of integral of a stochastic process

Intensity.PPR

Intesity Process for the Point Process Regression Model

Diagnostic.Cogarch

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

aeDensity

Asymptotic Expansion - Density

Asymptotic Expansion

aeExpectation

Asymptotic Expansion - Functionals

JBtest

Remove jumps and calculate the Gaussian quasi-likelihood estimator based on the Jarque-Bera normality test

Diagnostic.Carma

Diagnostic Carma model

aeMarginal

Asymptotic Expansion - Marginals

LawMethods

Methods for an object of class yuima.law

LogSPX

Five minutes Log SPX prices

adaBayes

Adaptive Bayes estimator for the parameters in sde model

Information criteria for the stochastic differential equation

aeKurtosis

Asymptotic Expansion - Kurtosis

CPoint

Volatility structural change point estimator

CarmaNoise

Estimation for the underlying Levy in a carma model

MWK151

Graybill - Methuselah Walk - PILO - ITRDB CA535

aeCharacteristic

Asymptotic Expansion - Characteristic Function

cce.factor

High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization

aeSd

Asymptotic Expansion - Standard Deviation

aeMean

Asymptotic Expansion - Mean

cce

Nonsynchronous Cumulative Covariance Estimator

aeMoment

Asymptotic Expansion - Moments

carma.info-class

Class for information about CARMA(p,q) model

cogarch.est.-class

Class for Generalized Method of Moments Estimation for COGARCH(p,q) model

aeSkewness

Asymptotic Expansion - Skewness

hyavar

Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

info.Map-class

Class for information about Map/Operators

fitCIR

Calculate preliminary estimator and one-step improvements of a Cox-Ingersoll-Ross diffusion

get.counting.data

Extract arrival times from an object of class yuima.PPR

cogarchNoise

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

lambdaFromData

Intensity of a Point Process Regression Model

info.PPR

Class for information about Point Process

gmm

Method of Moments for COGARCH(P,Q).

cogarch.info-class

Class for information about CoGarch(p,q)

mmfrac

llag.test

Wild Bootstrap Test for the Absence of Lead-Lag Effects

mllag

Multiple Lead-Lag Detector

bns.test

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

cogarch.est.incr-class

Class for Estimation of COGARCH(p,q) model with underlying increments

asymptotic_term

asymptotic expansion of the expected value of the functional

model.parameter-class

Class for the parameter description of stochastic differential equations

lasso

Adaptive LASSO estimation for stochastic differential equations

llag

Lead Lag Estimator

limiting.gamma

calculate the value of limiting covariance matrices : Gamma

mpv

Realized Multipower Variation

lm.jumptest

Lee and Mykland's Test for the Presence of Jumps Using Normalized Returns

noisy.sampling

Noisy Observation Generator

ntv

Volatility Estimation and Jump Test Using Nearest Neighbor Truncation

phi.test

Phi-divergence test statistic for stochastic differential equations

qmle

Calculate quasi-likelihood and ML estimator of least squares estimator

lseBayes

Adaptive Bayes estimator for the parameters in sde model by using LSE functions

param.Map-class

Class for information about Map/Operators

param.Integral

Class for the mathematical description of integral of a stochastic process

qmleLevy

Gaussian quasi-likelihood estimation for Levy driven SDE

poisson.random.sampling

Poisson random sampling method

qgv

pz.test

Podolskij and Ziggel's Test for the Presence of Jumps Using Power Variation with Perturbed Truncation

setIntegral

Integral of Stochastic Differential Equation

rconst

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

setCharacteristic

Set characteristic information and create a `characteristic' object.

setCarma

Continuous Autoregressive Moving Average (p, q) model

rng

Random numbers and densities

setHawkes

Constructor of Hawkes model

setCogarch

Continuous-time GARCH (p,q) process

setLaw

Random variable constructor

setFunctional

Description of a functional associated with a perturbed stochastic differential equation

setData

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

setPPR

Point Process

setPoisson

Basic constructor for Compound Poisson processes

setYuima

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

simCIR

Simulation of the Cox-Ingersoll-Ross diffusion

setSampling

Set sampling information and create a `sampling' object.

simulate

Simulator function for multi-dimensional stochastic processes

setMap

Map of a Stochastic Differential Equation

simBmllag

Simulation of increments of bivariate Brownian motions with multi-scale lead-lag relationships

simFunctional

Calculate the value of functional

yuima.Hawkes

Class for a mathematical description of a Point Process

subsampling

variable.Integral

Class for the mathematical description of integral of a stochastic process

snr

Calculating self-normalized residuals for SDEs.

ybook

R code for the Yuima Book

yuima.CP.qmle-class

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

setModel

Basic description of stochastic differential equations (SDE)

wllag

Scale-by-scale lead-lag estimation

spectralcov

Spectral Method for Cumulative Covariance Estimation

toLatex

Additional Methods for LaTeX Representations for Yuima objects

yuima-class

Class for stochastic differential equations

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

yuima.PPR

Class for a mathematical description of a Point Process

yuima.cogarch-class

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

yuima.data-class

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

yuima.Integral-class

Class for the mathematical description of integral of a stochastic process

yuima.Map-class

Class for the mathematical description of function of a stochastic process

yuima.ae-class

Class for the asymptotic expansion of diffusion processes

yuima.carma-class

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

yuima.law-class

Class of yuima law

yuima.carma.qmle-class

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

yuima.functional-class

Classes for stochastic differential equations data object

yuima.multimodel-class

Class for the mathematical description of Multi dimensional Jump Diffusion processes

yuima.characteristic-class

Classe for stochastic differential equations characteristic scheme

yuima.qmleLevy.incr

Class for Quasi Maximum Likelihood Estimation of Levy SDE model

yuima.model-class

Classes for the mathematical description of stochastic differential equations

yuima.poisson-class

Class for the mathematical description of Compound Poisson processes

yuima.sampling-class

Classes for stochastic differential equations sampling scheme

yuima.snr-class

Class "yuima.snr" for self-normalized residuals of SDE "yuima" class object