yuima: The YUIMA Project Package for SDEs

Simulation and Inference for SDEs and Other Stochastic Processes.

Install the latest version of this package by entering the following in R:
install.packages("yuima")
AuthorYUIMA Project Team
Date of publication2017-02-16 10:56:19
MaintainerStefano M. Iacus <stefano.iacus@unimi.it>
LicenseGPL-2
Version1.5.9
http://www.yuima-project.com

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

Intensity.PPR: Intesity Process for the Point Process Regression Model

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

lseBayes: Adaptive Bayes estimator for the parameters in sde model by...

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...

ybook: R code for the Yuima Book

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

Functions

adaBayes Man page
adaBayes,yuima-method Man page
asymptotic_term Man page
asymptotic_term,yuima-method Man page
bns.test Man page
bns.test,list-method Man page
bns.test,yuima.data-method Man page
bns.test,yuima-method Man page
Carma Man page
CARMA Man page
carma.info-class Man page
CarmaNoise Man page
carma.qmle Man page
Carma.Recovering Man page
CarmaRecovNoise Man page
cbind.yuima Man page
cbind.yuima,yuima.data-method Man page
cbind.yuima,yuima-method Man page
cce Man page
cce,list-method Man page
cce,yuima.data-method Man page
cce,yuima-method Man page
cdf Man page
char Man page
cogarch Man page
Cogarch Man page
CoGarch Man page
COGARCH Man page
cogarch.info-class Man page
cogarchNoise Man page
cogarch.Recovering Man page
CogarchRecovNoise Man page
Continuous Man page
CPoint Man page
CP.qmle Man page
Data Man page
dbgamma Man page
dconst Man page
dens Man page
dGH Man page
dGIG Man page
Diagnostic.Carma Man page
Diagnostic.Cogarch Man page
dIG Man page
dim Man page
dim,yuima.data-method Man page
dim,yuima-method Man page
dNIG Man page
dvgamma Man page
end,yuima.data-method Man page
F0 Man page
F0,yuima-method Man page
Fnorm Man page
Fnorm,yuima-method Man page
gete Man page
gete,yuima.functional-method Man page
getf Man page
getF Man page
getf,yuima.functional-method Man page
getF,yuima.functional-method Man page
getxinit Man page
getxinit,yuima.functional-method Man page
get.zoo.data Man page
get.zoo.data,yuima.data-method Man page
get.zoo.data,yuima-method Man page
hyavar Man page
info.Map Man page
info.Map-class Man page
info.Ppr Man page
info.Ppr-class Man page
initialize,carma.info-method Man page
initialize,cogarch.info-method Man page
initialize,info.Map-method Man page
initialize,info.Ppr-method Man page
initialize,model.parameter-method Man page
initialize,param.Map-method Man page
initialize,yuima.carma-method Man page
initialize,yuima.characteristic-method Man page
initialize,yuima.cogarch-method Man page
initialize,yuima.data-method Man page
initialize,yuima.functional-method Man page
initialize,yuima.Hawkes-method Man page
initialize,yuima.Map-method Man page
initialize,yuima-method Man page
initialize,yuima.model-method Man page
initialize,yuima.multimodel-method Man page
initialize,yuima.poisson-method Man page
initialize,yuima.Ppr-method Man page
initialize,yuima.sampling-method Man page
Intensity.PPR Man page
lambdaFromData Man page
lasso Man page
LawMethods Man page
length Man page
length,yuima.data-method Man page
length,yuima-method Man page
Levy.Carma Man page
Levy.cogarch Man page
limiting.gamma Man page
limiting.gamma,yuima.carma-method Man page
limiting.gamma,yuima.cogarch-method Man page
limiting.gamma,yuima-method Man page
limiting.gamma,yuima.model-method Man page
llag Man page
llag,list-method Man page
llag,yuima.data-method Man page
llag,yuima-method Man page
lmm Man page
LogSPX Man page
lse Man page
LSE Man page
lseBayes Man page
lseBayes,yuima-method Man page
LSE,yuima-method Man page
Map of SDE Man page
Map of yuima Man page
mllag Man page
ml.ql Man page
ml.ql2 Man page
ml.ql2,ANY-method Man page
ml.ql,ANY-method Man page
ml.ql,yuima-method Man page
mmfrac Man page
model.parameter-class Man page
mpv Man page
mpv,list-method Man page
mpv,yuima.data-method Man page
mpv,yuima-method Man page
MWK151 Man page
noisy.sampling Man page
noisy.sampling,list-method Man page
noisy.sampling,yuima.data-method Man page
noisy.sampling,yuima-method Man page
param.Map Man page
param.Map-class Man page
phi.test Man page
plot,yuima,ANY-method Man page
plot,yuima.carma.qmle,ANY-method Man page
plot,yuima.CP.qmle,ANY-method Man page
plot,yuima.data,ANY-method Man page
poisson.random.sampling Man page
poisson.random.sampling,yuima.data-method Man page
poisson.random.sampling,yuima-method Man page
pseudologlikelihood Man page
pseudologlikelihood.COGARCH Man page
qgv Man page
ql Man page
ql,ANY-method Man page
ql,yuima-method Man page
qmle Man page
qmle.carma Man page
qmle.CP Man page
qmleL Man page
qmleR Man page
quant Man page
quasilogl Man page
rand Man page
rand-method Man page
rbgamma Man page
rconst Man page
Recovering.Noise Man page
Recovering.Noise.cogarch Man page
rGH Man page
rGIG Man page
rIG Man page
rng Man page
rNIG Man page
rnts Man page
rpts Man page
rql Man page
rql,ANY-method Man page
rql,yuima-method Man page
rstable Man page
rvgamma Man page
setCarma Man page
setCharacteristic Man page
setCogarch Man page
setData Man page
setFunctional Man page
setFunctional,yuima-method Man page
setFunctional,yuima.model-method Man page
setHawkes Man page
setIntegral Man page
setLaw Man page
setMap Man page
setModel Man page
setPoisson Man page
setPpr Man page
setSampling Man page
setSampling,ANY-method Man page
setSampling,yuima.carma-method Man page
setSampling,yuima.data-method Man page
setSampling,yuima.model-method Man page
setYuima Man page
simFunctional Man page
simFunctional,yuima-method Man page
simulate Man page
simulate,yuima.carma-method Man page
simulate,yuima.cogarch-method Man page
simulate,yuima.Hawkes-method Man page
simulate,yuima.Map-method Man page
simulate,yuima-method Man page
simulate,yuima.model-method Man page
simulate,yuima.multimodel-method Man page
simulate,yuima.Ppr-method Man page
spectralcov Man page
start,yuima.data-method Man page
subsampling Man page
subsampling,yuima.data-method Man page
subsampling,yuima-method Man page
time,yuima.data-method Man page
toLatex Man page
toLatex.yuima Man page
toLatex.yuima.carma Man page
toLatex.yuima.cogarch Man page
toLatex.yuima.model Man page
ybook Man page
yuima.carma-class Man page
yuima.carma.qmle-class Man page
yuima.characteristic-class Man page
yuima-class Man page
yuima.cogarch-class Man page
yuima.CP.qmle-class Man page
yuima.data-class Man page
yuima.functional-class Man page
yuima.Hawkes Man page
yuima.Hawkes-class Man page
yuima.Map Man page
yuima.Map-class Man page
yuima.model Man page
yuima.model-class Man page
yuima.multimodel Man page
yuima.multimodel-class Man page
yuima.poisson-class Man page
yuima.Ppr Man page
yuima.Ppr-class Man page
yuima.qmle-class Man page
yuima.sampling-class Man page

Files

COPYING
inst
inst/CITATION
inst/AUTHORS
inst/COPYRIGHTS
inst/ybook
inst/ybook/chapter6.R inst/ybook/chapter7.R inst/ybook/chapter4.R inst/ybook/chapter3.R inst/ybook/chapter2.R inst/ybook/chapter5.R inst/ybook/chapter1.R
src
src/carmafilter.c
src/euler.c
src/MpCN.cpp
src/rng.c
src/minusquasilogl_W1andW2.cpp
src/PseudoLoglikCOGARCH.c
src/cce_functions.c
src/qmlecpp.cpp
src/RcppExports.cpp
src/Mt.h
NAMESPACE
NEWS
data
data/LogSPX.rda
data/MWK151.rda
R
R/AllClasses.R R/mllag.R R/toLatex.R R/CPoint.R R/yuima.R R/CholeskyfGn.R R/simCP.R R/lseBayes.R R/rng.R R/PseudoLogLikCOGARCH.R R/PointProcessClasses.R R/qmle.R R/asymptotic_term_third.R R/AuxMethodforPPR.R R/yuima.characteristic.R R/mpv.R R/NewClasses.R R/yuima.law.r R/cce.R R/mmfrac.R R/setPoisson.R R/setCogarch.R R/yuima.functional.R R/sampling2grid.R R/subsampling.R R/DiagnosticCogarch.R R/WoodChanfGn.R R/llag.R R/poisson.random.sampling.R R/setMultiModel.R R/setCarma.R R/yuima.data.R R/asymptotic_term_second.R R/simulateMultiProcess.R R/spectralcov.R R/hyavar.R R/yuima.model.R R/simulateForPpr.R R/lse.R R/adaBayes.R R/RcppExports.R R/lambdaPPR.R R/MethodForLaw.R R/simulateForMapsIntegralAndOperator.R R/ClassCogarch.R R/yuima.sampling.R R/setHawkes.R R/asymptotic_term_third_function.R R/FunctionAndOperators.R R/simulate.R R/phi.test.R R/bns.test.R R/DiagnosticCarma.R R/sim.euler.space.discretized.R R/cogarchNoise.R R/noisy.sampling.R R/setPpr.R R/sim.euler.R R/limiting.gamma.R R/lasso.R R/MM.COGARCH.R R/zzz.R R/simFunctional.R R/CarmaNoise.R R/qgv.R
MD5
DESCRIPTION
man
man/yuima.model-class.Rd man/setFunctional.Rd man/noisy.sampling.Rd man/yuima.characteristic-class.Rd man/MWK151.Rd man/yuima.functional-class.Rd man/model.parameter-class.Rd man/mmfrac.Rd man/phi.test.Rd
man/yuima.Integral-class.rd
man/setCarma.Rd man/CarmaNoise.Rd man/simulate.Rd
man/Integral.sde.rd
man/lambdaFromData.Rd man/Intensity.PPR.Rd man/setYuima.Rd man/Diagnostic.Cogarch.Rd man/setSampling.Rd man/simFunctional.Rd man/rng.Rd man/setCharacteristic.Rd man/mllag.Rd man/info.Ppr.Rd
man/cogarch.est.incr.rd
man/lasso.Rd man/yuima.Map-class.Rd man/yuima-class.Rd man/setLaw.Rd man/LogSPX.Rd man/setModel.Rd
man/yuima.law-class.rd
man/mpv.Rd
man/cogarch.est.rd
man/cogarchNoise.Rd man/spectralcov.Rd man/lseBayes.Rd man/setMap.Rd man/asymptotic_term.Rd man/yuima.carma-class.Rd man/param.Map.Rd man/yuima.carma.qmle-class.Rd man/cce.Rd man/setPpr.Rd man/yuima.sampling-class.Rd
man/param.Integral.rd
man/yuima.poisson-class.Rd man/limiting.gamma.Rd man/adaBayes.Rd man/setData.Rd man/LawMethods.Rd man/setHawkes.Rd man/setCogarch.Rd man/bns.test.Rd man/yuima.multimodel.Rd man/yuima.CP.qmle-class.Rd man/info.Map.Rd man/setPoisson.Rd man/setIntegral.Rd man/ybook.Rd man/qgv.Rd
man/Integrand.rd
man/carma.info-class.Rd man/rconst.Rd man/yuima.cogarch-class.Rd man/llag.Rd
man/variable.Integral.rd
man/CPoint.Rd man/cogarch.info-class.Rd man/yuima.Hawkes.Rd
man/gmm.rd
man/yuima.data-class.Rd man/subsampling.Rd man/yuima.Ppr.Rd man/poisson.random.sampling.Rd man/hyavar.Rd man/Diagnostic.Carma.Rd man/qmle.Rd man/toLatex.Rd

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