Package: yuima 1.15.27

Stefano M. Iacus

yuima: The YUIMA Project Package for SDEs

Simulation and Inference for SDEs and Other Stochastic Processes.

Authors:YUIMA Project Team

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yuima.pdf |yuima.html
yuima/json (API)
NEWS

# Install 'yuima' in R:
install.packages('yuima', repos = c('https://yuimaproject.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/yuimaproject/yuima/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3
Datasets:
  • Data - Five minutes Log SPX prices
  • MWK151 - Graybill - Methuselah Walk - PILO - ITRDB CA535

On CRAN:

6.98 score 8 stars 2 packages 94 scripts 1.1k downloads 118 exports 13 dependencies

Last updated 2 hours agofrom:4e6db7e792. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 22 2024
R-4.5-win-x86_64NOTENov 22 2024
R-4.5-linux-x86_64NOTENov 22 2024
R-4.4-win-x86_64OKNov 22 2024
R-4.4-mac-x86_64OKNov 22 2024
R-4.4-mac-aarch64OKNov 22 2024
R-4.3-win-x86_64OKNov 22 2024
R-4.3-mac-x86_64OKNov 22 2024
R-4.3-mac-aarch64OKNov 22 2024

Exports:adaBayesaeaeCharacteristicaeDensityaeExpectationaeKurtosisaeMarginalaeMeanaeMomentaeSdaeSkewnessasymptotic_termbns.testCarmaNoiseccecce.factorcdfcharcogarchNoiseCPointDataPPRdbgammadconstdensdGHdGIGDiagnostic.CarmaDiagnostic.CogarchdIGdimdNIGdvgammaestimation_LRMEstimCarmaHawkesF0fitCIRFnormFromCF2yuima_lawget.counting.dataget.zoo.datagetegetfgetFgetxinitgmmhyavarICinitializeIntensity.PPRJBtestkalmanBucyFilterlambdaFromDatalassolengthlimiting.gammallagllag.testlm.jumptestlmmlselseBayesmedrvmedrv.testminrvminrv.testmllagmmfracmpvnoisy.samplingphi.testplotpoisson.random.samplingpz.testqgvqmleqmle.linear_state_space_modelqmleLqmleLevyqmleRquantquasiloglrandrbgammarconstrGHrGIGrIGrNIGrntsrptsrstablervgammasetCarmasetCarmaHawkessetCharacteristicsetCogarchsetDatasetFunctionalsetHawkessetIntegralsetLawsetLaw_thsetLRMsetMapsetModelsetPoissonsetPPRsetSamplingsetYuimasimBmllagsimBmllag.coefsimCIRsimFunctionalsimulatesnrsubsamplingwllagybook

Dependencies:bootcalculuscodacubatureexpmglassoFastlatticeMatrixmvtnormRcppRcppArmadillostatmodzoo

Readme and manuals

Help Manual

Help pageTopics
Adaptive Bayes estimator for the parameters in sde modeladaBayes adaBayes,yuima-method
Asymptotic Expansionae
Asymptotic Expansion - Characteristic FunctionaeCharacteristic
Asymptotic Expansion - DensityaeDensity
Asymptotic Expansion - FunctionalsaeExpectation
Asymptotic Expansion - KurtosisaeKurtosis
Asymptotic Expansion - MarginalsaeMarginal
Asymptotic Expansion - MeanaeMean
Asymptotic Expansion - MomentsaeMoment
Asymptotic Expansion - Standard DeviationaeSd
Asymptotic Expansion - SkewnessaeSkewness
asymptotic expansion of the expected value of the functionalasymptotic_term asymptotic_term,yuima-method
Barndorff-Nielsen and Shephard's Test for the Presence of Jumps Using Bipower Variationbns.test bns.test,list-method bns.test,yuima-method bns.test,yuima.data-method
Class for information about CARMA(p,q) modelcarma.info-class
Class for information on the Hawkes process with a CARMA(p,q) intensitycarmaHawkes.info-class
Estimation for the underlying Levy in a carma modelCarma.Recovering CarmaNoise CarmaRecovNoise Levy.Carma Recovering.Noise
Nonsynchronous Cumulative Covariance Estimatorcce
High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularizationcce.factor
Class for Quasi Maximum Likelihood Estimation of Point Process Regression ModelsPPR.qmle qmle.PPR yuima.PPR.qmle,ANY-method yuima.PPR.qmle-class
Class for Generalized Method of Moments Estimation for COGARCH(p,q) modelcogarch.est-class plot,cogarch.est.,ANY-method
Class for Estimation of COGARCH(p,q) model with underlying incrementscogarch.est.incr-class est.cogarch.incr-class plot,cogarch.est.incr,ANY-method simulate,cogarch.est.incr-method
Class for information about CoGarch(p,q)cogarch.info-class
Estimation for the underlying Levy in a COGARCH(p,q) modelcogarch.Recovering cogarchNoise CogarchRecovNoise Levy.cogarch Recovering.Noise.cogarch
Volatility structural change point estimatorCPoint qmleL qmleR
From 'zoo' data to 'yuima.PPR'.DataPPR
Diagnostic Carma modelDiagnostic.Carma
Function for checking the statistical properties of the COGARCH(p,q) modelDiagnostic.Cogarch
Estimation of the t-Levy Regression ModelEstimation of t-Levy Regression Model estimation_LRM
Estimation Methods for a CARMA(p,q)-Hawkes Counting ProcessEstimCarmaHawkes MethodOfMoments.CarmaHawkes qmle.CarmaHawkes
Calculate preliminary estimator and one-step improvements of a Cox-Ingersoll-Ross diffusionfitCIR
From a Characteristic Function to an 'yuima.law-object'.FromCF2yuima_law
Extract arrival times from an object of class 'yuima.PPR'get.counting.data NoisePPR
Method of Moments for COGARCH(P,Q).gmm gmm.COGARCH Method of Moment COGARCH
Asymptotic Variance Estimator for the Hayashi-Yoshida estimatorhyavar
Information criteria for the stochastic differential equationIC
Class for information about Map/Operatorsinfo.Map info.Map-class initialize,info.Map-method
Class for information about Point Processinfo.PPR info.PPR-class initialize,info.PPR-method
Class for the mathematical description of integral of a stochastic processinitialize,Integral.sde-method Integral.sde Integral.sde-class
Class for the mathematical description of integral of a stochastic processinitialize,Integrand-method Integrand Integrand-class
Intesity Process for the Point Process Regression ModelIntensity.PPR
Remove jumps and calculate the Gaussian quasi-likelihood estimator based on the Jarque-Bera normality testJBtest
Kalman-Bucy FilterkalmanBucyFilter kalmanBucyFilter,yuima-method yuima.kalmanBucyFilter-class
Intensity of a Point Process Regression ModellambdaFromData
Adaptive LASSO estimation for stochastic differential equationslasso
Methods for an object of class 'yuima.law'cdf char dens LawMethods quant rand rand-method
calculate the value of limiting covariance matrices : Gammalimiting.gamma
Lead Lag Estimatorllag llag,list-method
Wild Bootstrap Test for the Absence of Lead-Lag Effectsllag.test
Lee and Mykland's Test for the Presence of Jumps Using Normalized Returnslm.jumptest
Five minutes Log SPX pricesData LogSPX
Adaptive Bayes estimator for the parameters in sde model by using LSE functionslseBayes lseBayes,yuima-method
Multiple Lead-Lag Detectormllag
mmfracmmfrac
Class for the parameter description of stochastic differential equationsmodel.parameter-class
Realized Multipower Variationmpv mpv,yuima-method mpv,yuima.data-method
Graybill - Methuselah Walk - PILO - ITRDB CA535MWK151
Noisy Observation Generatornoisy.sampling noisy.sampling,yuima-method noisy.sampling,yuima.data-method
Volatility Estimation and Jump Test Using Nearest Neighbor Truncationmedrv medrv.test minrv minrv.test ntv
Class for the mathematical description of integral of a stochastic processinitialize,param.Integral-method param.Integral param.Integral-class
Class for information about Map/Operatorsinitialize,param.Map-method param.Map param.Map-class
Phi-divergence test statistic for stochastic differential equationsphi.test
Poisson random sampling methodpoisson.random.sampling
Podolskij and Ziggel's Test for the Presence of Jumps Using Power Variation with Perturbed Truncationpz.test
qgvqgv
Calculate quasi-likelihood and ML estimator of least squares estimatorlse pseudologlikelihood pseudologlikelihood.COGARCH qmle quasilogl rql
Calculate Quasi-Likelihood and Maximum Likelihood Estimator for Linear State Space Modelqmle.linear_state_space_model qmle.linear_state_space_model,yuima-method yuima.linear_state_space_qmle-class
Gaussian quasi-likelihood estimation for Levy driven SDEEstimation.LevyIncr LevySDE qmleLevy
Fictitious rng for the constant random variable used to generate and describe Poisson jumps.dconst rconst
Random numbers and densitiesdbgamma dGH dGIG dIG dNIG dvgamma rbgamma rGH rGIG rIG rng rNIG rnts rpts rstable rvgamma
Continuous Autoregressive Moving Average (p, q) modelCARMA Carma setCarma
Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensityCarmaHawkes Hawkes.Carma.Intensity setCarmaHawkes
Set characteristic information and create a `characteristic' object.setCharacteristic
Continuous-time GARCH (p,q) processCOGARCH CoGarch Cogarch cogarch setCogarch
Set and access data of an object of type "yuima.data" or "yuima".cbind.yuima dim get.zoo.data length setData
Description of a functional associated with a perturbed stochastic differential equationgete getF getf getxinit setFunctional setFunctional,yuima-method setFunctional,yuima.model-method
Constructor of Hawkes modelsetHawkes
Integral of Stochastic Differential EquationsetIntegral
Random variable constructorsetLaw
Constructior of a t-Levy process.setLaw_th
A constructor of a t-Student Regression Model.setLRM
Map of a Stochastic Differential EquationMap of SDE Map of yuima setMap
Basic description of stochastic differential equations (SDE)setModel
Basic constructor for Compound Poisson processessetPoisson
Point ProcesssetPPR
Set sampling information and create a `sampling' object.setSampling
Creates a "yuima" object by combining "model", "data", "sampling", "characteristic" and "functional"slots.setYuima
Simulation of increments of bivariate Brownian motions with multi-scale lead-lag relationshipssimBmllag simBmllag.coef
Simulation of the Cox-Ingersoll-Ross diffusionsimCIR
Calculate the value of functionalF0 F0,yuima-method Fnorm Fnorm,yuima-method simFunctional simFunctional,yuima-method
Simulator function for multi-dimensional stochastic processessimulate
Calculating self-normalized residuals for SDEs.snr
Spectral Method for Cumulative Covariance Estimationlmm spectralcov
subsamplingsubsampling
Additional Methods for LaTeX Representations for Yuima objectstoLatex toLatex.yuima toLatex.yuima.carma toLatex.yuima.cogarch toLatex.yuima.model
Class for the mathematical description of integral of a stochastic processinitialize,variable.Integral-method variable.Integral variable.Integral-class
Scale-by-scale lead-lag estimationwllag
R code for the Yuima Bookybook
Class for stochastic differential equationscbind,yuima,ANY-method cce,yuima-method dim,yuima-method get.zoo.data,yuima-method initialize,yuima-method length,yuima-method limiting.gamma,yuima-method llag,yuima-method LSE,yuima-method ml.ql,yuima-method plot,yuima,ANY-method poisson.random.sampling,yuima-method ql,yuima-method rql,yuima-method simulate,yuima-method subsampling,yuima-method yuima-class
Class for adaptive Bayes estimation of stochastic differential equationsyuima.adabayes-class
Class for the asymptotic expansion of diffusion processesinitialize,yuima.ae-method plot,yuima.ae,ANY-method yuima.ae-class
Class for the mathematical description of CARMA(p,q) modelinitialize,carma.info-method initialize,yuima.carma-method limiting.gamma,yuima.carma-method simulate,yuima.carma-method yuima.carma-class
Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) modelcarma.qmle plot,yuima.carma.qmle,ANY-method qmle.carma yuima.carma.qmle-class
Class for the mathematical description of a Hawkes process with a CARMA(p,q) intensityinitialize,carmaHawkes.info-method initialize,yuima.carmaHawkes-method yuima.carmaHawkes-class
Classe for stochastic differential equations characteristic schemeinitialize,yuima.characteristic-method yuima.characteristic-class
Class for the mathematical description of CoGarch(p,q) modelinitialize,cogarch.info-method initialize,yuima.cogarch-method limiting.gamma,yuima.cogarch-method simulate,yuima.cogarch-method yuima.cogarch-class
Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE modelsCP.qmle plot,yuima.CP.qmle,ANY-method qmle.CP yuima.CP.qmle-class yuima.qmle-class
Class "yuima.data" for the data slot of a "yuima" class objectcbind.yuima,yuima.data-method cce,yuima.data-method dim,yuima.data-method get.zoo.data,yuima.data-method initialize,yuima.data-method length,yuima.data-method llag,yuima.data-method plot,yuima.data,ANY-method poisson.random.sampling,yuima.data-method subsampling,yuima.data-method yuima.data-class
Classes for stochastic differential equations data objectgete,yuima.functional-method getF,yuima.functional-method getf,yuima.functional-method getxinit,yuima.functional-method initialize,yuima.functional-method yuima.functional-class
Class for a mathematical description of a Point Processinitialize,yuima.Hawkes-method simulate,yuima.Hawkes-method yuima.Hawkes yuima.Hawkes-class
Class for the mathematical description of integral of a stochastic processinitialize,yuima.Integral-method simulate,yuima.Integral-method yuima.Integral yuima.Integral-class
'yuima law-class': A mathematical description for the noise.cdf,yuima.law-method char,yuima.law-method dens,yuima.law-method initialize,yuima.law-method quant,yuima.law-method rand,yuima.law-method yuima.law yuima.law-class
'yuima.LevyRM': A class for the mathematical description of the t-Student regression model.estimation_RLM,yuima.LevyRM-function initialize,yuima.LevyRM-method simulate,yuima.LevyRM-method yuima.LevyRM yuima.LevyRM-class
Class for the Mathematical Description of Linear State Space Modelsinitialize,linear_state_space_model.parameter-method initialize,yuima.linear_state_space_model-method limiting.gamma,yuima.linear_state_space_model-method simulate,yuima.linear_state_space_model-method yuima.linear_state_space_model yuima.linear_state_space_model-class
Class for the mathematical description of function of a stochastic processinitialize,yuima.Map-method simulate,yuima.Map-method yuima.Map yuima.Map-class
Classes for the mathematical description of stochastic differential equationsinitialize,model.parameter-method initialize,yuima.model-method limiting.gamma,yuima.model-method simulate,yuima.model-method yuima.model yuima.model-class
Class for the mathematical description of Multi dimensional Jump Diffusion processesinitialize,yuima.multimodel-method simulate,yuima.multimodel-method yuima.multimodel yuima.multimodel-class
Class for the mathematical description of Compound Poisson processesinitialize,yuima.poisson-method yuima.poisson-class
Class for a mathematical description of a Point Processinitialize,yuima.PPR-method simulate,yuima.PPR-method yuima.PPR yuima.PPR-class
Class for Quasi Maximum Likelihood Estimation of Levy SDE modelincr.qmleLevy initialize,yuima.qmleLevy.incr-method qmleLevy.incr yuima.qmleLevy.incr,ANY-method yuima.qmleLevy.incr-class
Classes for stochastic differential equations sampling schemeinitialize,yuima.sampling-method yuima.sampling-class
Class "yuima.snr" for self-normalized residuals of SDE "yuima" class objectshow,yuima.snr-method yuima.snr-class
Class for the Mathematical Description of State Space Modelsinitialize,state_space_model.parameter-method initialize,yuima.state_space_model-method limiting.gamma,yuima.state_space_model-method simulate,yuima.state_space_model-method yuima.state_space_model yuima.state_space_model-class
'yuima.th-class': A mathematical description for the t-Levy process.cdf,yuima.th-method char,yuima.th-method dens,yuima.th-method initialize,yuima.th-method quant,yuima.th-method rand,yuima.th-method t-Levy process yuima.th yuima.th-class