Simulation and Inference for Stochastic Processes with YUIMA: A Comprehensive R Framework for SDEs and...

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Stefano M. Iacus Nakahiro Yoshida

Simulation and Inference for Stochastic Processes with YUIMA

A Comprehensive R Framework for SDEs and Other Stochastic Processes

Stefano M. Iacus, Nakahiro Yoshida

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English

Springer International Publishing AG
12 June 2018

Probability & statistics; Stochastics; Mathematical & statistical software; Maths for computer scientists

Series: Use R!

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.

By: Stefano M. Iacus, Nakahiro Yoshida
Imprint: Springer International Publishing AG
Country of Publication: Switzerland
Edition: 1st ed. 2018
Dimensions: Height: 235mm, Width: 155mm,
Weight: 4.336kg
ISBN: 9783319555676
ISBN 10: 3319555677
Series: Use R!
Pages: 268
Publication Date: 12 June 2018
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

1 Introduction.- 2 Diffusion processes.- 3 Compound Poisson processes.- 4 Stochastic differential equations driven by Lévy processes.- 5 Stochastic differential equations driven by the fractional Brownian motion.- 6 CARMA models.- 7 COGARCH models.- Reference.- Index.

Stefano M. Iacus, PhD, is full professor of statistics in the Department of Economics, Management and Quantitative Methods at the University of Milan. He has been a member of the R Core Team (1999-2014) for the development of the R statistical environment and is now a member of the R Foundation. His research interests include inference for stochastic processes, simulation, computational statistics, causal inference, text mining, and sentiment analysis. Nakahiro Yoshida, PhD, is full professor at the Graduate School of Mathematical Sciences, University of Tokyo. He is working in theoretical statistics, probability theory, computational statistics, and financial data analysis. He was awarded the Japan Statistical Society Award in 2009 and the Analysis Prize from the Mathematical Society of Japan in 2006.

Reviews for Simulation and Inference for Stochastic Processes with YUIMA: A Comprehensive R Framework for SDEs and Other Stochastic Processes

"""The book is written in an accessible style ... . a wide audience can benefit for a through overview of the topic and the R package."" (Irina Ioana Mohorianu, zbMATH 1458.60004, 2021)"