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The YUIMA project: A computational framework for simulation and inference of stochastic differential equations
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نویسنده
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brouste a. ,fukasawa m. ,hino h. ,iacus s.m. ,kamatani k. ,koike y. ,masuda h. ,nomura r. ,ogihara t. ,shimuzu y. ,uchida m. ,yoshida n.
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منبع
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journal of statistical software - 2014 - دوره : 57 - - کد همایش: - صفحه:1 -51
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چکیده
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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.
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کلیدواژه
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Inference for stochastic processes; Simulation; Stochastic differential equations
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آدرس
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university of le mans, Italy, osaka university, Italy, university of tsukuba, Japan, university of milan, Italy, university of tokyo, Japan, university of tokyo, Japan, kyushu university, Italy, university of tokyo, Japan, osaka university, Italy, osaka university, Italy, osaka university, Italy, university of tokyo, Japan
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Authors
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