Simulation and Inference for Stochastic Processes with YUIMA

Name: Simulation and Inference for Stochastic Processes with YUIMA
Brand: Springer International Publishing AG
SKU: 9783319555676
Price: 63.57 EUR
Availability: InStock

Autor: Stefano M. Iacus, Nakahiro Yoshida

Jazyk:

Väzba: Brožovaná

Vydavateľ: Springer International Publishing AG

Dostupnosť: Skladom u dodávateľa

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63.57 €

The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allow...

Informácie o knihe

Autor

Stefano M. Iacus, Nakahiro Yoshida

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2017

Stránok

268

EAN

9783319555676

ISBN

3319555677

Enbook ID

15869855

Vydavateľ

Springer International Publishing AG

Hmotnosť

434

Rozmery

238 x 160 x 19

Kompletný popis

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.

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Simulation and Inference for Stochastic Processes with YUIMA

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