Simulation and Inference for Stochastic Processes with YUIMA - A Comprehensive R Framework for SDEs and Other Stochastic Processes
| Verlag | Springer |
| Auflage | 2018 |
| Seiten | 268 |
| Format | 15,4 x 1,6 x 23,6 cm |
| Gewicht | 435 g |
| Artikeltyp | Englisches Buch |
| Reihe | Use R! |
| ISBN-10 | 3319555677 |
| EAN | 9783319555676 |
| Bestell-Nr | 31955567A |
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 experimental data are now available. The YUIMA package, available on CRAN, can be freely downloaded and this companion book will make the user able to start his or her analysis from the first page.
Inhaltsverzeichnis:
1 Introduction.- 2 Diffusion processes.- 3 Compound Poisson processes.- 4 Stochastic differential equations driven by Lévy processes.- 5 Stochastic differential equations driven by the fractional Brownian motion.- 6 CARMA models.- 7 COGARCH models.- Reference.- Index.
Rezension:
"The book is written in an accessible style ... . a wide audience can benefit for a through overview of the topic and the R package." (Irina Ioana Mohorianu, zbMATH 1458.60004, 2021)
