Implementation of Lévy CARMA model in Yuima package

Stefano Iacus () and Lorenzo Mercuri ()

Computational Statistics, 2015, vol. 30, issue 4, 1141 pages

Abstract: The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general Lévy Continuous Autoregressive Moving Average (CARMA) model. The flexibility of the package is due to the fact that the user is allowed to choose several parametric Lévy distribution for the increments. Some numerical examples are given in order to explain the main classes and the corresponding methods implemented in yuima package for the CARMA model. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Yuima project; Lévy CARMA model; Kalman Filter (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s00180-015-0569-7

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