Simulation and Inference for Stochastic Processes with YUIMA

DOI10.1007/978-3-319-55569-0zbMath1458.60004OpenAlexW4230352642MaRDI QIDQ3174849

Nakahiro Yoshida, Stefano Maria Iacus

Publication date: 18 July 2018

Published in: Use R! (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-55569-0

zbMATH Keywords

samplingstochastic differential equationsimulationLévy processesWiener processtime seriesfractional Brownian motiondiffusion processcompound Poisson processsimulation modelsparametric inferencechange point estimationmultidimensional compound Poisson processCARMA modelsgeneralised hyperbolic processasynchronous covariance estimationCOGARCH modelslead-lag estimationtime stampsYUIMA package

Mathematics Subject Classification ID

Theory of programming languages (68N15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Foundations of stochastic processes (60G05) Software, source code, etc. for problems pertaining to probability theory (60-04)

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Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework ⋮ Quasi-likelihood analysis and its applications ⋮ Noise inference for ergodic Lévy driven SDE ⋮ Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates ⋮ High order asymptotic expansion for Wiener functionals ⋮ Global Optimization via Schrödinger–Föllmer Diffusion ⋮ Review of statistical approaches for modeling high-frequency trading data ⋮ Gaussian quasi-information criteria for ergodic Lévy driven SDE ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Unnamed Item ⋮ An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox ⋮ Regularized bridge-type estimation with multiple penalties ⋮ Hybrid estimation for ergodic diffusion processes based on noisy discrete observations ⋮ Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function ⋮ Global jump filters and quasi-likelihood analysis for volatility ⋮ Empirical \(L^2\)-distance test statistics for ergodic diffusions ⋮ Aspects of non‐causal and non‐invertible CARMA processes

Uses Software

• R
• CRAN
• tseries
• fExoticOptions
• YUIMA
• Rugarch
• timeSeries
• COGARCH.rm

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