Simulation and Inference for Stochastic Processes with YUIMA
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portes grátis
Simulation and Inference for Stochastic Processes with YUIMA
A Comprehensive R Framework for SDEs and Other Stochastic Processes
Iacus, Stefano M.; Yoshida, Nakahiro
Springer International Publishing AG
06/2018
268
Mole
Inglês
9783319555676
15 a 20 dias
4336
Descrição não disponível.
1 Introduction.- 2 Diffusion processes.- 3 Compound Poisson processes.- 4 Stochastic differential equations driven by Levy processes.- 5 Stochastic differential equations driven by the fractional Brownian motion.- 6 CARMA models.- 7 COGARCH models.- Reference.- Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Levy processes;R language;YUIMA;computational statistics;simulation and inference for stochastic processes;stochastic differential equations;levy;Malliavin calculus;CRAN;Brownian motion;Wiener process;CARMA;COGARCH;quasi maximum likelihood estimation;adaptive Bayes estimation;structural change point analysis;hypotheses testing;asynchronous covariance estimation;lead-lag estimation;LASSO model selection
1 Introduction.- 2 Diffusion processes.- 3 Compound Poisson processes.- 4 Stochastic differential equations driven by Levy processes.- 5 Stochastic differential equations driven by the fractional Brownian motion.- 6 CARMA models.- 7 COGARCH models.- Reference.- Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Levy processes;R language;YUIMA;computational statistics;simulation and inference for stochastic processes;stochastic differential equations;levy;Malliavin calculus;CRAN;Brownian motion;Wiener process;CARMA;COGARCH;quasi maximum likelihood estimation;adaptive Bayes estimation;structural change point analysis;hypotheses testing;asynchronous covariance estimation;lead-lag estimation;LASSO model selection
