Learn R Programming

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

yuima: Simulation and Inference for SDEs and Other Stochastic Processes

This R package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. It also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non parametric.

Installation

Install the stable release from CRAN:

install.packages("yuima")

For developers

When you add Rcpp or other C code, please always do, within R-devel Console:

tools::package_native_routine_registration_skeleton('yuima',,,FALSE)

take the output and update the file src/yuima_init.c with the above output.

Help

See the help of "package_native_routine_registration_skeleton"

library(tools)
?package_native_routine_registration_skeleton

This page is also of interest.

Acknowledgments

The Project has been funded up to 2010 by the Japan Science Technology (JST) Basic Research Programs PRESTO, Grants-in-Aid for Scientific Research No. 19340021. Presently, the YUIMA Project is supported by the Japan Science and Technology Agency CREST.

Copy Link

Version

Install

install.packages('yuima')

Monthly Downloads

1,039

Version

1.15.22

License

GPL-2

Maintainer

Stefano M. Iacus

Last Published

December 20th, 2022

Functions in yuima (1.15.22)

Diagnostic.Carma

Diagnostic Carma model

Class for the mathematical description of integral of a stochastic process

Class for the mathematical description of integral of a stochastic process

Diagnostic.Cogarch

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

From zoo data to yuima.PPR.

Methods for an object of class yuima.law

Graybill - Methuselah Walk - PILO - ITRDB CA535

Asymptotic Expansion - Kurtosis

Asymptotic Expansion - Density

Asymptotic Expansion - Marginals

Five minutes Log SPX prices

Adaptive Bayes estimator for the parameters in sde model

Asymptotic Expansion

aeCharacteristic

Asymptotic Expansion - Characteristic Function

Asymptotic Expansion - Functionals

Asymptotic Expansion - Standard Deviation

Asymptotic Expansion - Mean

asymptotic_term

asymptotic expansion of the expected value of the functional

Asymptotic Expansion - Skewness

Asymptotic Expansion - Moments

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

Nonsynchronous Cumulative Covariance Estimator

carma.info-class

Class for information about CARMA(p,q) model

High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization

cogarch.est.-class

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

Class for information about Point Process

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

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

get.counting.data

Extract arrival times from an object of class yuima.PPR

Intensity of a Point Process Regression Model

cogarch.est.incr-class

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

Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

Class for information about Map/Operators

cogarch.info-class

Class for information about CoGarch(p,q)

Method of Moments for COGARCH(P,Q).

Adaptive LASSO estimation for stochastic differential equations

model.parameter-class

Class for the parameter description of stochastic differential equations

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

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

Multiple Lead-Lag Detector

Lead Lag Estimator

Realized Multipower Variation

Wild Bootstrap Test for the Absence of Lead-Lag Effects

calculate the value of limiting covariance matrices : Gamma

Calculate quasi-likelihood and ML estimator of least squares estimator

Phi-divergence test statistic for stochastic differential equations

param.Map-class

Class for information about Map/Operators

Class for the mathematical description of integral of a stochastic process

Noisy Observation Generator

Gaussian quasi-likelihood estimation for Levy driven SDE

Volatility Estimation and Jump Test Using Nearest Neighbor Truncation

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

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

Random numbers and densities

Constructor of Hawkes model

Description of a functional associated with a perturbed stochastic differential equation

Continuous Autoregressive Moving Average (p, q) model

setCharacteristic

Set characteristic information and create a `characteristic' object.

poisson.random.sampling

Poisson random sampling method

Random variable constructor

Integral of Stochastic Differential Equation

Basic constructor for Compound Poisson processes

Set sampling information and create a `sampling' object.

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

Calculate the value of functional

Additional Methods for LaTeX Representations for Yuima objects

Continuous-time GARCH (p,q) process

variable.Integral

Class for the mathematical description of integral of a stochastic process

R code for the Yuima Book

Map of a Stochastic Differential Equation

Class for a mathematical description of a Point Process

Class for stochastic differential equations

Basic description of stochastic differential equations (SDE)

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

Simulator function for multi-dimensional stochastic processes

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

yuima.CP.qmle-class

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

Simulation of the Cox-Ingersoll-Ross diffusion

Scale-by-scale lead-lag estimation

Calculating self-normalized residuals for SDEs.

yuima.Integral-class

Class for the mathematical description of integral of a stochastic process

Class for a mathematical description of a Point Process

yuima.Map-class

Class for the mathematical description of function of a stochastic process

yuima.carma.qmle-class

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

Spectral Method for Cumulative Covariance Estimation

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

yuima.model-class

Classes for the mathematical description of stochastic differential equations

yuima.characteristic-class

Classe for stochastic differential equations characteristic scheme

yuima.cogarch-class

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

yuima.poisson-class

Class for the mathematical description of Compound Poisson processes

yuima.data-class

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

yuima.qmleLevy.incr

Class for Quasi Maximum Likelihood Estimation of Levy SDE model

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

Class for the asymptotic expansion of diffusion processes

yuima.carma-class

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

yuima.functional-class

Classes for stochastic differential equations data object

yuima.law-class

Class of yuima law

yuima.multimodel-class

Class for the mathematical description of Multi dimensional Jump Diffusion processes

Estimation for the underlying Levy in a carma model

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

Information criteria for the stochastic differential equation

Intesity Process for the Point Process Regression Model

Volatility structural change point estimator