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

研究成果: ジャーナルへの寄稿記事

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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.

元の言語英語
ページ(範囲)1-51
ページ数51
ジャーナルJournal of Statistical Software
57
発行部数4
DOI
出版物ステータス出版済み - 2014

    フィンガープリント

All Science Journal Classification (ASJC) codes

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

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