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Simulation and Inference for Stochastic Processes with YUIMA

- A Comprehensive R Framework for SDEs and Other Stochastic Processes

part of the Use R! series

About Simulation and Inference for Stochastic Processes with YUIMA

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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  • Language:
  • English
  • ISBN:
  • 9783319555676
  • Binding:
  • Paperback
  • Pages:
  • 268
  • Published:
  • June 12, 2018
  • Edition:
  • 12018
  • Dimensions:
  • 238x160x19 mm.
  • Weight:
  • 434 g.
  In stock
Delivery: 3-5 business days
Expected delivery: October 13, 2024

Description of Simulation and Inference for Stochastic Processes with YUIMA

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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