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Simulation and Inference for Stochastic Processes with YUIMA

A Comprehensive R Framework for SDEs and Other Stochastic Processes

Authors: Iacus, Stefano M., Yoshida, Nakahiro

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  • Contains both theory and R code with step-by-step examples and figures
  • Uses YUIMA package to implement the latest techniques available in the literature of inference and simulation for stochastic processes
  • Shows how to create the description of very abstract models in the same way they are described in theoretical papers but with an extremely easy interface
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eBook 41,64 €
price for Spain (gross)
  • ISBN 978-3-319-55569-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 51,99 €
price for Spain (gross)
  • ISBN 978-3-319-55567-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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, Lévy 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.

About the authors

Stefano M. Iacus, PhD, is full professor of statistics in the Department of Economics, Management and Quantitative Methods at the University of Milan. He has been a member of the R Core Team (1999-2014) for the development of the R statistical environment and is now a member of the R Foundation. His research interests include inference for stochastic processes, simulation, computational statistics, causal inference, text mining, and sentiment analysis.

Nakahiro Yoshida, PhD, is full professor at the Graduate School of Mathematical Sciences, University of Tokyo. He is working in theoretical statistics, probability theory, computational statistics, and financial data analysis. He was awarded the Japan Statistical Society Award in 2009 and the Analysis Prize from the Mathematical Society of Japan in 2006.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook 41,64 €
price for Spain (gross)
  • ISBN 978-3-319-55569-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 51,99 €
price for Spain (gross)
  • ISBN 978-3-319-55567-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Simulation and Inference for Stochastic Processes with YUIMA
Book Subtitle
A Comprehensive R Framework for SDEs and Other Stochastic Processes
Authors
Series Title
Use R!
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing AG, part of Springer Nature
eBook ISBN
978-3-319-55569-0
DOI
10.1007/978-3-319-55569-0
Softcover ISBN
978-3-319-55567-6
Series ISSN
2197-5736
Edition Number
1
Number of Pages
XIII, 268
Number of Illustrations
51 b/w illustrations, 32 illustrations in colour
Topics