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

Language: English

Published by Springer, 2018

3319555677 / 9783319555676

Series: Book 58 of 68 - Use R!

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Druck auf Anfrage Neuware - Printed after ordering - 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.

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Title
Simulation and Inference for Stochastic Processes with YUIMA : A Comprehensive R Framework for SDEs and Other Stochastic Processes
Author
Stefano M. Iacus
Publisher
Springer
Publication year
2018
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3319555677
ISBN 13
9783319555676
Item weight
435 grams
Dimensions
235x155x16 mm
Series
Book 58 of 68: Use R!

AHA-BUCH GmbH

Einbeck, Germany

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AbeBooks seller since August 14, 2006

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