The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

Alexandre Brouste, Masaaki Fukasawa, Hideitsu Hino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida

Research output: Contribution to journalArticle

27 Citations (Scopus)

Abstract

The YUIMA Project is an open source and collaborative effort aimed at developing the R package yuima for simulation and inference of stochastic differential equations. In the yuima package stochastic differential equations can be of very abstract type, multidimensional, driven by Wiener process or fractional Brownian motion with general Hurst parameter, with or without jumps specified as Ĺevy noise. The yuima package is intended to offer the basic infrastructure on which complex models and inference procedures can be built on. This paper explains the design of the yuima package and provides some examples of applications.

Original languageEnglish
Pages (from-to)1-51
Number of pages51
JournalJournal of Statistical Software
Volume57
Issue number4
DOIs
Publication statusPublished - 2014

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Stochastic Equations
Differential equations
Differential equation
Hurst Parameter
Brownian movement
Wiener Process
Fractional Brownian Motion
Open Source
Jump
Simulation
Infrastructure
Framework
Stochastic differential equations
Inference
Model
Design

All Science Journal Classification (ASJC) codes

  • Software
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

The YUIMA project : A computational framework for simulation and inference of stochastic differential equations. / Brouste, Alexandre; Fukasawa, Masaaki; Hino, Hideitsu; Iacus, Stefano M.; Kamatani, Kengo; Koike, Yuta; Masuda, Hiroki; Nomura, Ryosuke; Ogihara, Teppei; Shimuzu, Yasutaka; Uchida, Masayuki; Yoshida, Nakahiro.

In: Journal of Statistical Software, Vol. 57, No. 4, 2014, p. 1-51.

Research output: Contribution to journalArticle

Brouste, A, Fukasawa, M, Hino, H, Iacus, SM, Kamatani, K, Koike, Y, Masuda, H, Nomura, R, Ogihara, T, Shimuzu, Y, Uchida, M & Yoshida, N 2014, 'The YUIMA project: A computational framework for simulation and inference of stochastic differential equations', Journal of Statistical Software, vol. 57, no. 4, pp. 1-51. https://doi.org/10.18637/jss.v057.i04
Brouste, Alexandre ; Fukasawa, Masaaki ; Hino, Hideitsu ; Iacus, Stefano M. ; Kamatani, Kengo ; Koike, Yuta ; Masuda, Hiroki ; Nomura, Ryosuke ; Ogihara, Teppei ; Shimuzu, Yasutaka ; Uchida, Masayuki ; Yoshida, Nakahiro. / The YUIMA project : A computational framework for simulation and inference of stochastic differential equations. In: Journal of Statistical Software. 2014 ; Vol. 57, No. 4. pp. 1-51.
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