Simulation and inference for stochastic processes with yuima: a comprehensive r framework for sdes and other stochastic processes
Auteur :
Iacus, Stefano M. / Yoshida, Nakahiro
Éditeur :
Springer International Publishing AG
ISBN :
9783319555676
Date de publication :
12 juin 2018
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.