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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.

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Version

Install

install.packages('yuima')

Monthly Downloads

1,152

Version

1.15.34

License

GPL-2

Maintainer

Yuta Koike

Last Published

December 14th, 2025

Functions in yuima (1.15.34)

Asymptotic Expansion - Functionals

aeCharacteristic

Asymptotic Expansion - Characteristic Function

Methods for an Object of Class yuima.law

Five Minutes Log SPX Prices

Asymptotic Expansion

Asymptotic Expansion - Density

Intesity Process for the Point Process Regression Model

Adaptive Bayes Estimator for the Parameters in SDE Model

Graybill - Methuselah Walk - PILO - ITRDB CA535

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

Asymptotic Expansion - Mean

Asymptotic Expansion - Moments

carmaHawkes.info-class

Class for Information on the Hawkes Process with a CARMA(p,q) Intensity

Asymptotic Expansion - Marginals

Asymptotic Expansion - Kurtosis

asymptotic_term

Asymptotic Expansion of the Expected Value of the Functional

Asymptotic Expansion - Skewness

Asymptotic Expansion - Standard Deviation

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

cogarch.info-class

Class for Information about COGARCH(p,q)

cogarch.est.incr-class

Class for Estimation of COGARCH(p,q) Model with Underlying Increments

Estimation for the Underlying Levy in a COGARCH(p,q) Model

cogarch.est.-class

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

High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization

get.counting.data

Extract Arrival Times from an Object of Class yuima.PPR

Estimation of the t-Levy Regression Model

Method of Moments for COGARCH(P,Q)

Calculate Preliminary Estimator and One-step Improvements of a Cox-Ingersoll-Ross Diffusion

Nonsynchronous Cumulative Covariance Estimator

Adaptive LASSO Estimation for Stochastic Differential Equations

Intensity of a Point Process Regression Model

Class for Information about Map/Operators

kalmanBucyFilter

Kalman-Bucy Filter

Calculate the Value of Limiting Covariance Matrices : Gamma

Wild Bootstrap Test for the Absence of Lead-Lag Effects

Asymptotic Variance Estimator for the Hayashi-Yoshida Estimator

Class for Information about Point Process

initialize,yuima.ae-method

Constructor for yuima.ae Class

Lead Lag Estimator

param.Map-class

Class for Information about Map/Operators

model.parameter-class

Class for the Parameter Description of Stochastic Differential Equations

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

Class for the Mathematical Description of Integral of a Stochastic Process

Volatility Estimation and Jump Test Using Nearest Neighbor Truncation

Realized Multipower Variation

Adaptive Bayes Estimator for the Parameters in SDE Model by Using LSE Functions

Noisy Observation Generator

Multiple Lead-Lag Detector

Phi-divergence Test Statistic for Stochastic Differential Equations

plot,yuima.ae,ANY-method

Plot Method for yuima.ae Class

plot,yuima.kalmanBucyFilter,ANY-method

Plotting Method for Kalman-Bucy Filter

Calculate Quasi-likelihood and ML Estimator of Least Squares Estimator

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

poisson.random.sampling

Poisson Random Sampling Method

Gaussian Quasi-likelihood Estimation for Levy Driven SDE

Quasi-likelihood Estimation for Degenerate Diffusion Processes

Continuous-time GARCH (p,q) Process

Constructor of Hawkes Model

qmle.linear_state_space_model

Calculate Quasi-Likelihood and Maximum Likelihood Estimator for Linear State Space Model

Hawkes Process with a Continuous Autoregressive Moving Average(p, q) Intensity

Continuous Autoregressive Moving Average (p, q) Model

Fictitious RNG for the Constant Random Variable Used to Generate and Describe Poisson Jumps

Random Numbers and Densities

setCharacteristic

Set Characteristic Information and Create a `characteristic' Object

Description of a Functional Associated with a Perturbed Stochastic Differential Equation

Set and Access Data of an Object of Type "yuima.data" or "yuima"

Random Variable Constructor

Set Sampling Information and Create a `sampling' Object

Map of a Stochastic Differential Equation

A Constructor of a t-Student Regression Model

Constructior of a t-Levy Process

Integral of Stochastic Differential Equation

Basic Description of Stochastic Differential Equations (SDE)

Basic Constructor for Compound Poisson Processes

Creates a "yuima" Object by Combining "model", "data", "sampling", "characteristic" and "functional" Slots

variable.Integral

Class for the Mathematical Description of Integral of a Stochastic Process

Calculating Self-normalized Residuals for SDEs

Simulation of Increments of Bivariate Brownian Motions with Multi-scale Lead-lag Relationships

Additional Methods for LaTeX Representations for Yuima Objects

Calculate the Value of Functional

Spectral Method for Cumulative Covariance Estimation

Simulator Function for Multi-dimensional Stochastic Processes

Simulation of the Cox-Ingersoll-Ross Diffusion

Scale-by-scale Lead-lag Estimation

R Code for the Yuima Book

yuima.Integral-class

Class for the Mathematical Description of Integral of a Stochastic Process

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

yuima.LevyRM-class

yuima.LevyRM: A Class for the Mathematical Description of the t-Student Regression Model

Class for Stochastic Differential Equations

yuima.adabayes-class

Class for Adaptive Bayes Estimation of Stochastic Differential Equations

Class for a Mathematical Description of a Point Process

yuima.Map-class

Class for the Mathematical Description of Function of a Stochastic Process

Class for a Mathematical Description of a Point Process

yuima.CP.qmle-classss

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

yuima.carmaHawkes-class

Class for the Mathematical Description of a Hawkes Process with a CARMA(p,q) Intensity

yuima.characteristic-class

Classe for Stochastic Differential Equations Characteristic Scheme

yuima.law-class

yuima law-class: A Mathematical Description for the Noise

yuima.carma-class

Class for the Mathematical Description of CARMA(p,q) Model

yuima.linear_state_space_model-class

Class for the Mathematical Description of Linear State Space Models

yuima.functional-class

Classes for Stochastic Differential Equations Data Object

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

Class for the Asymptotic Expansion of Diffusion Processes

yuima.qmleLevy.incr

Class for Quasi Maximum Likelihood Estimation of Levy SDE Model

yuima.state_space_model-class

Class for the Mathematical Description of State Space Models

yuima.carma.qmle-class

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

yuima.sampling-class

Classes for Stochastic Differential Equations Sampling Scheme

yuima.model-class

Classes for the Mathematical Description of Stochastic Differential Equations

yuima.th-class: A Mathematical Description for the t-Levy Process

yuima.snr-class

Class "yuima.snr" for Self-normalized Residuals of SDE "yuima" Class Object

yuima.poisson-class

Class for the Mathematical Description of Compound Poisson Processes

yuima.multimodel-class

Class for the miMathematical Description of Multi Dimensional Jump Diffusion Processes

Class for the Mathematical Description of Integral of a Stochastic Process

FromCF2yuima_law

From a Characteristic Function to an yuima.law-object

Volatility Structural Change Point Estimator

Diagnostic.Cogarch

Function for Checking the Statistical Properties of the COGARCH(p,q) Model

Class for the Mathematical Description of Integral of a Stochastic Process

From zoo Data to yuima.PPR

EstimCarmaHawkes

Estimation Methods for a CARMA(p,q)-Hawkes Counting Process

Estimation for the Underlying Levy in a Carma Model

Information Criteria for the Stochastic Differential Equation

Diagnostic.Carma

Diagnostic Carma Model