EAN: 9783319555676

USE R! SIMULATION AND INFERENCE FOR STOCHASTI...

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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