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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

825

Version

1.15.27

License

GPL-2

Maintainer

Stefano M. Iacus

Last Published

February 29th, 2024

Functions in yuima (1.15.27)

Class for the mathematical description of integral of a stochastic process

Asymptotic Expansion

Asymptotic Expansion - Density

Methods for an object of class yuima.law

Graybill - Methuselah Walk - PILO - ITRDB CA535

aeCharacteristic

Asymptotic Expansion - Characteristic Function

Asymptotic Expansion - Functionals

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

Intesity Process for the Point Process Regression Model

Asymptotic Expansion - Kurtosis

Five minutes Log SPX prices

Adaptive Bayes estimator for the parameters in sde model

Asymptotic Expansion - Standard Deviation

Asymptotic Expansion - Skewness

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

asymptotic_term

asymptotic expansion of the expected value of the functional

Asymptotic Expansion - Mean

carmaHawkes.info-class

Class for information on the Hawkes process with a CARMA(p,q) intensity

carma.info-class

Class for information about CARMA(p,q) model

cogarch.info-class

Class for information about CoGarch(p,q)

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

Asymptotic Expansion - Marginals

cogarch.est.-class

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

cogarch.est.incr-class

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

Estimation of the t-Levy Regression Model

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

Method of Moments for COGARCH(P,Q).

Asymptotic Expansion - Moments

Class for information about Point Process

Adaptive LASSO estimation for stochastic differential equations

Nonsynchronous Cumulative Covariance Estimator

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

High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization

calculate the value of limiting covariance matrices : Gamma

Lead Lag Estimator

Intensity of a Point Process Regression Model

Multiple Lead-Lag Detector

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

Wild Bootstrap Test for the Absence of Lead-Lag Effects

Noisy Observation Generator

Realized Multipower Variation

model.parameter-class

Class for the parameter description of stochastic differential equations

Volatility Estimation and Jump Test Using Nearest Neighbor Truncation

Class for information about Map/Operators

poisson.random.sampling

Poisson random sampling method

Phi-divergence test statistic for stochastic differential equations

Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

Class for the mathematical description of integral of a stochastic process

param.Map-class

Class for information about Map/Operators

Continuous Autoregressive Moving Average (p, q) model

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

Gaussian quasi-likelihood estimation for Levy driven SDE

Calculate quasi-likelihood and ML estimator of least squares estimator

Random numbers and densities

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

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

Integral of Stochastic Differential Equation

Constructor of Hawkes model

Map of a Stochastic Differential Equation

Constructior of a t-Levy process.

setCharacteristic

Set characteristic information and create a `characteristic' object.

Continuous-time GARCH (p,q) process

A constructor of a t-Student Regression Model.

Random variable constructor

Description of a functional associated with a perturbed stochastic differential equation

Basic constructor for Compound Poisson processes

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

Basic description of stochastic differential equations (SDE)

Spectral Method for Cumulative Covariance Estimation

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

Calculating self-normalized residuals for SDEs.

Simulation of the Cox-Ingersoll-Ross diffusion

Simulator function for multi-dimensional stochastic processes

Calculate the value of functional

Set sampling information and create a `sampling' object.

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

variable.Integral

Class for the mathematical description of integral of a stochastic process

Class for stochastic differential equations

Additional Methods for LaTeX Representations for Yuima objects

R code for the Yuima Book

yuima.CP.qmle-class

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

Class for a mathematical description of a Point Process

yuima.Integral-class

Class for the mathematical description of integral of a stochastic process

Scale-by-scale lead-lag estimation

yuima.Map-class

Class for the mathematical description of function of a stochastic process

yuima.LevyRM-class

yuima.LevyRM: A class for the mathematical description of the t-Student regression model.

yuima.data-class

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

yuima.functional-class

Classes for stochastic differential equations data object

Class for the asymptotic expansion of diffusion processes

yuima.carma-class

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

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models

yuima.cogarch-class

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

yuima.characteristic-class

Classe for stochastic differential equations characteristic scheme

yuima.carmaHawkes-class

Class for the mathematical description of a Hawkes process with a CARMA(p,q) intensity

yuima.law-class

yuima law-class: A mathematical description for the noise.

yuima.sampling-class

Classes for stochastic differential equations sampling 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.multimodel-class

Class for the mathematical description of Multi dimensional Jump Diffusion processes

yuima.snr-class

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

yuima.carma.qmle-class

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

Class for a mathematical description of a Point Process

yuima.th-class: A mathematical description for the t-Levy process.

yuima.poisson-class

Class for the mathematical description of Compound Poisson processes

Diagnostic.Carma

Diagnostic Carma model

From zoo data to yuima.PPR.

FromCF2yuima_law

From a Characteristic Function to an yuima.law-object.

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

Volatility structural change point estimator

Information criteria for the stochastic differential equation

Estimation for the underlying Levy in a carma model

EstimCarmaHawkes

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