Simulation and Inference for Stochastic Processes with YUIMA - A Comprehensive R Framework for SDEs and Other Stochastic Processes (Paperback, 1st ed. 2018)

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, Levy 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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Use R!
Release date:	June 2018
First published:	2017
Authors:	Stefano M. Iacus • Nakahiro Yoshida
Dimensions:	235 x 155 x 19mm (L x W x T)
Format:	Paperback
Pages:	268
Edition:	1st ed. 2018
ISBN-13:	978-3-319-55567-6
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Computing & IT > General theory of computing > Mathematical theory of computation Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematics for scientists & engineers Books > Computing & IT > Computer software packages > Other software packages > Mathematical & statistical software
LSN:	3-319-55567-7
Barcode:	9783319555676

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