Simulation and Inference for Stochastic Processes with YUIMA

Simulation and Inference for Stochastic Processes with YUIMA

Autor
Stefano M. Iacus Nakahiro Yoshida
Editura
Springer International Publishing Ag
An publicare
2017
Nr. Pagini
268
ISBN
9783319555676
Categorii
Fictiune In Limbi Străine
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Descriere

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, Levy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes.

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