书目名称 | Simulation and Inference for Stochastic Processes with YUIMA |
副标题 | A Comprehensive R Fr |
编辑 | Stefano M. Iacus,Nakahiro Yoshida |
视频video | http://file.papertrans.cn/868/867561/867561.mp4 |
概述 | Contains both theory and R code with step-by-step examples and figures.Uses YUIMA package to implement the latest techniques available in the literature of inference and simulation for stochastic proc |
丛书名称 | Use R! |
图书封面 |  |
描述 | The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The 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. YUIMA 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.The book explains briefly the underlying theory for simulation and inference of several classes of stochastic processes and then presents both simulation experiments and applications to real data. Although these processes have been originally proposed in physics and more recently in finance, they are becoming popular also in biology due to the fact the time course expe |
出版日期 | Book 2018 |
关键词 | Lévy processes; R language; YUIMA; computational statistics; simulation and inference for stochastic pro |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-319-55569-0 |
isbn_softcover | 978-3-319-55567-6 |
isbn_ebook | 978-3-319-55569-0Series ISSN 2197-5736 Series E-ISSN 2197-5744 |
issn_series | 2197-5736 |
copyright | Springer International Publishing AG, part of Springer Nature 2018 |