yuima: The YUIMA Project Package for SDEs

Simulation and Inference for Stochastic Differential Equations.

Author
YUIMA Project Team
Date of publication
2016-11-06 16:15:04
Maintainer
Stefano M. Iacus <stefano.iacus@unimi.it>
License
GPL-2
Version
1.3.6
URLs

View on CRAN

Man pages

adaBayes
Adaptive Bayes estimator for the parameters in sde model
asymptotic_term
asymptotic expansion of the expected value of the functional
bns.test
Barndorff-Nielsen and Shephard's Test for the Presence of...
carma.info-class
Class for information about CARMA(p,q) model
CarmaNoise
Estimation for the underlying Levy in a carma model
cce
Nonsynchronous Cumulative Covariance Estimator
cogarch.info-class
Class for information about CoGarch(p,q)
cogarchNoise
Estimation for the underlying Levy in a COGARCH(p,q) model
CPoint
Volatility structural change point estimator
Diagnostic.Carma
Diagnostic Carma model
Diagnostic.Cogarch
Function for checking the statistical properties of the...
hyavar
Asymptotic Variance Estimator for the Hayashi-Yoshida...
info.Map
Class for information about Map/Operators
info.Ppr
Class for information about Point Process
lambdaFromData
Intensity of a Point Process Regression Model
lasso
Adaptive LASSO estimation for stochastic differential...
LawMethods
Methods for an object of class 'yuima.law'
limiting.gamma
calculate the value of limiting covariance matrices : Gamma
llag
Lead Lag Estimator
LogSPX
Five minutes Log SPX prices
mllag
Multiple Lead-Lag Detector
mmfrac
mmfrac
model.parameter-class
Class for the parameter description of stochastic...
mpv
Realized Multipower Variation
MWK151
Graybill - Methuselah Walk - PILO - ITRDB CA535
noisy.sampling
Noisy Observation Generator
param.Map
Class for information about Map/Operators
phi.test
Phi-divergence test statistic for stochastic differential...
poisson.random.sampling
Poisson random sampling method
qgv
qgv
qmle
Calculate quasi-likelihood and ML estimator of least squares...
rconst
Fictitious rng for the constant random variable used to...
rng
Random numbers and densities
setCarma
Continuous Autoregressive Moving Average (p, q) model
setCharacteristic
Set characteristic information and create a 'characteristic'...
setCogarch
Continuous-time GARCH (p,q) process
setData
Set and access data of an object of type "yuima.data" or...
setFunctional
Description of a functional associated with a perturbed...
setHawkes
Constructor of Hawkes model
setIntegral
Integral of Stochastic Differential Equation
setLaw
Random variable constructor
setMap
Map of a Stochastic Differential Equation
setModel
Basic description of stochastic differential equations (SDE)
setPoisson
Basic constructor for Compound Poisson processes
setPpr
Point Process
setSampling
Set sampling information and create a 'sampling' object.
setYuima
Creates a "yuima" object by combining "model", "data",...
simFunctional
Calculate the value of functional
simulate
Simulator function for multi-dimensional stochastic processes
spectralcov
Spectral Method for Cumulative Covariance Estimation
subsampling
subsampling
toLatex
Additional Methods for LaTeX Representations for Yuima...
yuima.carma-class
Class for the mathematical description of CARMA(p,q) model
yuima.carma.qmle-class
Class for Quasi Maximum Likelihood Estimation of CARMA(p,q)...
yuima.characteristic-class
Classe for stochastic differential equations characteristic...
yuima-class
Class for stochastic differential equations
yuima.cogarch-class
Class for the mathematical description of CoGarch(p,q) model
yuima.CP.qmle-class
Class for Quasi Maximum Likelihood Estimation of Compound...
yuima.data-class
Class "yuima.data" for the data slot of a "yuima" class...
yuima.functional-class
Classes for stochastic differential equations data object
yuima.Hawkes
Class for a mathematical description of a Point Process
yuima.Map-class
Class for the mathematical description of function of a...
yuima.model-class
Classes for the mathematical description of stochastic...
yuima.multimodel
Class for the mathematical description of Multi dimensional...
yuima.poisson-class
Class for the mathematical description of Compound Poisson...
yuima.Ppr
Class for a mathematical description of a Point Process
yuima.sampling-class
Classes for stochastic differential equations sampling scheme

Files in this package

yuima
yuima/COPYING
yuima/inst
yuima/inst/CITATION
yuima/inst/AUTHORS
yuima/inst/COPYRIGHTS
yuima/src
yuima/src/carmafilter.c
yuima/src/PseudoLoglikCOGARCH.c
yuima/src/cce_functions.c
yuima/src/qmlecpp.cpp
yuima/src/rpts.c
yuima/src/RcppExports.cpp
yuima/src/Mt.h
yuima/NAMESPACE
yuima/NEWS
yuima/data
yuima/data/LogSPX.rda
yuima/data/MWK151.rda
yuima/R
yuima/R/AllClasses.R
yuima/R/mllag.R
yuima/R/toLatex.R
yuima/R/CPoint.R
yuima/R/yuima.R
yuima/R/CholeskyfGn.R
yuima/R/simCP.R
yuima/R/rng.R
yuima/R/PseudoLogLikCOGARCH.R
yuima/R/PointProcessClasses.R
yuima/R/qmle.R
yuima/R/asymptotic_term_third.R
yuima/R/AuxMethodforPPR.R
yuima/R/yuima.characteristic.R
yuima/R/mpv.R
yuima/R/NewClasses.R
yuima/R/yuima.law.r
yuima/R/cce.R
yuima/R/mmfrac.R
yuima/R/setPoisson.R
yuima/R/setCogarch.R
yuima/R/yuima.functional.R
yuima/R/sampling2grid.R
yuima/R/subsampling.R
yuima/R/DiagnosticCogarch.R
yuima/R/WoodChanfGn.R
yuima/R/llag.R
yuima/R/poisson.random.sampling.R
yuima/R/setMultiModel.R
yuima/R/setCarma.R
yuima/R/yuima.data.R
yuima/R/asymptotic_term_second.R
yuima/R/simulateMultiProcess.R
yuima/R/spectralcov.R
yuima/R/hyavar.R
yuima/R/yuima.model.R
yuima/R/simulateForPpr.R
yuima/R/lse.R
yuima/R/adaBayes.R
yuima/R/RcppExports.R
yuima/R/MethodForLaw.R
yuima/R/simulateForMapsIntegralAndOperator.R
yuima/R/ClassCogarch.R
yuima/R/yuima.sampling.R
yuima/R/setHawkes.R
yuima/R/asymptotic_term_third_function.R
yuima/R/FunctionAndOperators.R
yuima/R/simulate.R
yuima/R/phi.test.R
yuima/R/bns.test.R
yuima/R/DiagnosticCarma.R
yuima/R/sim.euler.space.discretized.R
yuima/R/cogarchNoise.R
yuima/R/noisy.sampling.R
yuima/R/setPpr.R
yuima/R/sim.euler.R
yuima/R/limiting.gamma.R
yuima/R/lasso.R
yuima/R/MM.COGARCH.R
yuima/R/zzz.R
yuima/R/simFunctional.R
yuima/R/CarmaNoise.R
yuima/R/qgv.R
yuima/MD5
yuima/DESCRIPTION
yuima/man
yuima/man/yuima.model-class.Rd
yuima/man/setFunctional.Rd
yuima/man/noisy.sampling.Rd
yuima/man/yuima.characteristic-class.Rd
yuima/man/MWK151.Rd
yuima/man/yuima.functional-class.Rd
yuima/man/model.parameter-class.Rd
yuima/man/mmfrac.Rd
yuima/man/phi.test.Rd
yuima/man/yuima.Integral-class.rd
yuima/man/setCarma.Rd
yuima/man/CarmaNoise.Rd
yuima/man/simulate.Rd
yuima/man/Integral.sde.rd
yuima/man/lambdaFromData.Rd
yuima/man/setYuima.Rd
yuima/man/Diagnostic.Cogarch.Rd
yuima/man/setSampling.Rd
yuima/man/simFunctional.Rd
yuima/man/rng.Rd
yuima/man/setCharacteristic.Rd
yuima/man/mllag.Rd
yuima/man/info.Ppr.Rd
yuima/man/cogarch.est.incr.rd
yuima/man/lasso.Rd
yuima/man/yuima.Map-class.Rd
yuima/man/yuima-class.Rd
yuima/man/setLaw.Rd
yuima/man/LogSPX.Rd
yuima/man/setModel.Rd
yuima/man/yuima.law-class.rd
yuima/man/mpv.Rd
yuima/man/cogarch.est.rd
yuima/man/cogarchNoise.Rd
yuima/man/spectralcov.Rd
yuima/man/setMap.Rd
yuima/man/asymptotic_term.Rd
yuima/man/yuima.carma-class.Rd
yuima/man/param.Map.Rd
yuima/man/yuima.carma.qmle-class.Rd
yuima/man/cce.Rd
yuima/man/setPpr.Rd
yuima/man/yuima.sampling-class.Rd
yuima/man/param.Integral.rd
yuima/man/yuima.poisson-class.Rd
yuima/man/limiting.gamma.Rd
yuima/man/adaBayes.Rd
yuima/man/setData.Rd
yuima/man/LawMethods.Rd
yuima/man/setHawkes.Rd
yuima/man/setCogarch.Rd
yuima/man/bns.test.Rd
yuima/man/yuima.multimodel.Rd
yuima/man/yuima.CP.qmle-class.Rd
yuima/man/info.Map.Rd
yuima/man/setPoisson.Rd
yuima/man/setIntegral.Rd
yuima/man/qgv.Rd
yuima/man/Integrand.rd
yuima/man/carma.info-class.Rd
yuima/man/rconst.Rd
yuima/man/yuima.cogarch-class.Rd
yuima/man/llag.Rd
yuima/man/variable.Integral.rd
yuima/man/CPoint.Rd
yuima/man/cogarch.info-class.Rd
yuima/man/yuima.Hawkes.Rd
yuima/man/gmm.rd
yuima/man/yuima.data-class.Rd
yuima/man/subsampling.Rd
yuima/man/yuima.Ppr.Rd
yuima/man/poisson.random.sampling.Rd
yuima/man/hyavar.Rd
yuima/man/Diagnostic.Carma.Rd
yuima/man/qmle.Rd
yuima/man/toLatex.Rd