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Simulation and Inference for Stochastic Processes with YUIMA
A Comprehensive R Framework for SDEs and Other Stochastic Processes
Taschenbuch von Stefano M. Iacus (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor

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.

Zusammenfassung

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

Inhaltsverzeichnis

1 Introduction.- 2 Diffusion processes.- 3 Compound Poisson processes.- 4 Stochastic differential equations driven by Lévy processes.- 5 Stochastic differential equations driven by the fractional Brownian motion.- 6 CARMA models.- 7 COGARCH models.- Reference.- Index.

Details
Erscheinungsjahr: 2018
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Reihe: Use R!
Inhalt: xiii
268 S.
51 s/w Illustr.
32 farbige Illustr.
268 p. 83 illus.
32 illus. in color.
ISBN-13: 9783319555676
ISBN-10: 3319555677
Sprache: Englisch
Einband: Kartoniert / Broschiert
Autor: Iacus, Stefano M.
Yoshida, Nakahiro
Hersteller: Springer-Verlag GmbH
Springer International Publishing AG
Abbildungen: 64 schwarz-weiße und 25 farbige Abbildungen, Bibliographie
Maße: 235 x 155 x 16 mm
Von/Mit: Stefano M. Iacus (u. a.)
Erscheinungsdatum: 12.06.2018
Gewicht: 0,435 kg
Artikel-ID: 111064439
Über den Autor

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.

Zusammenfassung

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

Inhaltsverzeichnis

1 Introduction.- 2 Diffusion processes.- 3 Compound Poisson processes.- 4 Stochastic differential equations driven by Lévy processes.- 5 Stochastic differential equations driven by the fractional Brownian motion.- 6 CARMA models.- 7 COGARCH models.- Reference.- Index.

Details
Erscheinungsjahr: 2018
Fachbereich: Wahrscheinlichkeitstheorie
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Reihe: Use R!
Inhalt: xiii
268 S.
51 s/w Illustr.
32 farbige Illustr.
268 p. 83 illus.
32 illus. in color.
ISBN-13: 9783319555676
ISBN-10: 3319555677
Sprache: Englisch
Einband: Kartoniert / Broschiert
Autor: Iacus, Stefano M.
Yoshida, Nakahiro
Hersteller: Springer-Verlag GmbH
Springer International Publishing AG
Abbildungen: 64 schwarz-weiße und 25 farbige Abbildungen, Bibliographie
Maße: 235 x 155 x 16 mm
Von/Mit: Stefano M. Iacus (u. a.)
Erscheinungsdatum: 12.06.2018
Gewicht: 0,435 kg
Artikel-ID: 111064439
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