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yuima (version 1.15.2)

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

733

Version

1.15.2

License

GPL-2

Maintainer

Stefano Gary King

Last Published

January 27th, 2022

Functions in yuima (1.15.2)

Integrand

Class for the mathematical description of integral of a stochastic process

Integral.sde

Class for the mathematical description of integral of a stochastic process

CPoint

Volatility structural change point estimator

Intensity.PPR

Intesity Process for the Point Process Regression Model

Diagnostic.Carma

Diagnostic Carma model

DataPPR

From zoo data to yuima.PPR.

Diagnostic.Cogarch

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

Information criteria for the stochastic differential equation

aeCharacteristic

Asymptotic Expansion - Characteristic Function

Asymptotic Expansion

CarmaNoise

Estimation for the underlying Levy in a carma model

aeMoment

Asymptotic Expansion - Moments

aeMean

Asymptotic Expansion - Mean

aeSd

Asymptotic Expansion - Standard Deviation

aeDensity

Asymptotic Expansion - Density

aeExpectation

Asymptotic Expansion - Functionals

cogarch.est.incr-class

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

aeSkewness

Asymptotic Expansion - Skewness

cogarch.info-class

Class for information about CoGarch(p,q)

gmm

Method of Moments for COGARCH(P,Q).

MWK151

Graybill - Methuselah Walk - PILO - ITRDB CA535

hyavar

Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

aeKurtosis

Asymptotic Expansion - Kurtosis

info.Map-class

Class for information about Map/Operators

aeMarginal

Asymptotic Expansion - Marginals

cogarch.est.-class

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

adaBayes

Adaptive Bayes estimator for the parameters in sde model

cce.factor

High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization

info.PPR

Class for information about Point Process

mpv

Realized Multipower Variation

JBtest

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

carma.info-class

Class for information about CARMA(p,q) model

cce

Nonsynchronous Cumulative Covariance Estimator

ntv

Volatility Estimation and Jump Test Using Nearest Neighbor Truncation

param.Integral

Class for the mathematical description of integral of a stochastic process

mmfrac

noisy.sampling

Noisy Observation Generator

LogSPX

Five minutes Log SPX prices

rng

Random numbers and densities

setModel

Basic description of stochastic differential equations (SDE)

LawMethods

Methods for an object of class yuima.law

model.parameter-class

Class for the parameter description of stochastic differential equations

setCarma

Continuous Autoregressive Moving Average (p, q) model

lambdaFromData

Intensity of a Point Process Regression Model

lseBayes

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

setPoisson

Basic constructor for Compound Poisson processes

setIntegral

Integral of Stochastic Differential Equation

setHawkes

Constructor of Hawkes model

mllag

Multiple Lead-Lag Detector

qmle

Calculate quasi-likelihood and ML estimator of least squares estimator

snr

Calculating self-normalized residuals for SDEs.

qgv

spectralcov

Spectral Method for Cumulative Covariance Estimation

bns.test

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

ybook

R code for the Yuima Book

asymptotic_term

asymptotic expansion of the expected value of the functional

get.counting.data

Extract arrival times from an object of class yuima.PPR

param.Map-class

Class for information about Map/Operators

limiting.gamma

calculate the value of limiting covariance matrices : Gamma

qmleLevy

Gaussian quasi-likelihood estimation for Levy driven SDE

rconst

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

cogarchNoise

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

lasso

Adaptive LASSO estimation for stochastic differential equations

llag.test

Wild Bootstrap Test for the Absence of Lead-Lag Effects

variable.Integral

Class for the mathematical description of integral of a stochastic process

wllag

Scale-by-scale lead-lag estimation

llag

Lead Lag Estimator

poisson.random.sampling

Poisson random sampling method

lm.jumptest

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

setCharacteristic

Set characteristic information and create a `characteristic' object.

setCogarch

Continuous-time GARCH (p,q) process

setData

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

phi.test

Phi-divergence test statistic for stochastic differential equations

setFunctional

Description of a functional associated with a perturbed stochastic differential equation

yuima.cogarch-class

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

pz.test

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

setSampling

Set sampling information and create a `sampling' object.

setPPR

Point Process

yuima-class

Class for stochastic differential equations

yuima.CP.qmle-class

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

yuima.model-class

Classes for the mathematical description of stochastic differential equations

yuima.data-class

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

setMap

Map of a Stochastic Differential Equation

setLaw

Random variable constructor

yuima.Hawkes

Class for a mathematical description of a Point Process

yuima.carma.qmle-class

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

yuima.characteristic-class

Classe for stochastic differential equations characteristic scheme

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

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.law-class

Class of yuima law

simulate

Simulator function for multi-dimensional stochastic processes

yuima.sampling-class

Classes for stochastic differential equations sampling scheme

simFunctional

Calculate the value of functional

setYuima

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

yuima.functional-class

Classes for stochastic differential equations data object

simBmllag

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

subsampling

yuima.Integral-class

Class for the mathematical description of integral of a stochastic process

yuima.snr-class

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

toLatex

Additional Methods for LaTeX Representations for Yuima objects

yuima.poisson-class

Class for the mathematical description of Compound Poisson processes

yuima.qmleLevy.incr

Class for Quasi Maximum Likelihood Estimation of Levy SDE model

yuima.Map-class

Class for the mathematical description of function of a stochastic process

yuima.carma-class

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

yuima.ae-class

Class for the asymptotic expansion of diffusion processes