The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

Alexandre Brouste; Masaaki Fukasawa; Hideitsu Hino; Stefano M. Iacus; Kengo Kamatani; Yuta Koike; Hiroki Masuda; Ryosuke Nomura; Teppei Ogihara; Yasutaka Shimuzu; Masayuki Uchida; Nakahiro Yoshida

doi:10.18637/jss.v057.i04

The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

Alexandre Brouste^*, Masaaki Fukasawa, Hideitsu Hino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida

^*この研究の対応する著者

研究成果: Article › 査読

39 被引用数 (Scopus)

抄録

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 Ĺevy 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.

本文言語	English
ページ（範囲）	1-51
ページ数	51
ジャーナル	Journal of Statistical Software
巻	57
号	4
DOI	https://doi.org/10.18637/jss.v057.i04
出版ステータス	Published - 2014
外部発表	はい

ASJC Scopus subject areas

ソフトウェア
統計学および確率
統計学、確率および不確実性

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The YUIMA project : A computational framework for simulation and inference of stochastic differential equations. / Brouste, Alexandre; Fukasawa, Masaaki; Hino, Hideitsu; Iacus, Stefano M.; Kamatani, Kengo; Koike, Yuta; Masuda, Hiroki; Nomura, Ryosuke; Ogihara, Teppei; Shimuzu, Yasutaka; Uchida, Masayuki; Yoshida, Nakahiro.

In: Journal of Statistical Software, Vol. 57, No. 4, 2014, p. 1-51.

研究成果: Article › 査読

Brouste, Alexandre ; Fukasawa, Masaaki ; Hino, Hideitsu ; Iacus, Stefano M. ; Kamatani, Kengo ; Koike, Yuta ; Masuda, Hiroki ; Nomura, Ryosuke ; Ogihara, Teppei ; Shimuzu, Yasutaka ; Uchida, Masayuki ; Yoshida, Nakahiro. / The YUIMA project : A computational framework for simulation and inference of stochastic differential equations. In: Journal of Statistical Software. 2014 ; Vol. 57, No. 4. pp. 1-51.

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The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

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