Economics at your fingertips  

The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations

Alexandre Brouste, Masaaki Fukasawa, Hideitsu Hino, Stefano Iacus (), Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida and Nakahiro Yoshida

Journal of Statistical Software, 2014, vol. 057, issue i04

Abstract: The YUIMA Project is an open source and collaborative effort aimed at developing the R package yuima for simulation and inference of stochastic differential equations. In the yuima package stochastic differential equations can be of very abstract type, multidimensional, driven by Wiener process or fractional Brownian motion with general Hurst parameter, with or without jumps specified as Lévy noise. The yuima package is intended to offer the basic infrastructure on which complex models and inference procedures can be built on. This paper explains the design of the yuima package and provides some examples of applications.

Date: 2014-04-07
References: View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link) ... 4/yuima_1.0.2.tar.gz ... ile/v057i04/v57i04.R

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:


Access Statistics for this article

Journal of Statistical Software is currently edited by Bettina Grün, Edzer Pebesma and Achim Zeileis

More articles in Journal of Statistical Software from Foundation for Open Access Statistics
Bibliographic data for series maintained by Christopher F. Baum ().

Page updated 2019-08-02
Handle: RePEc:jss:jstsof:v:057:i04