The YUIMA Project Package for SDEs

Simulation and Inference for SDEs and Other Stochastic Processes.


2012/10/05: add mpv.R, bns.test.R, mpv.Rd, bns.test.Rd 2012/12/13: add noisy.sampling.R, noisy.sampling.Rd modify bns.test.R, cce.R, llag.R, mpv.R, bns.test.Rd, cce.Rd, llag.Rd, mpv.Rd 2012/12/19: modify cce.R 2012/12/19: modify cce.R, noisy.sampling.R 2012/12/22: modify cce.R 2013/02/06: modify rng.R 2013/02/11: modify cce.R 2013/04/13: modify asymptotic_term_second.R, asymptotic_term_third.R, asymptotic_term_third_function.R, cce.R, llag.R 2013/04/13: modify qmle.R 2013/04/14: modify qmle.R 2013/04/14: modify adaBayes.R 2013/04/14: modify bns.test.Rd, mpv.Rd 2013/10/28: add cce_functions.c modify cce.R, llag.R, sim.euler.R, bns.test.Rd, cce.Rd, llag.Rd, mpv.Rd, noisy.sampling.Rd 2013/10/28: modify llag.R 2013/10/30: modify cce.R, cce_functions.c 2013/11/21: modify llag.R 2013/11/22: modify cce.R, cce_functions.c 2014/04/28: modified qmle, added carma, modified lasso 2014/05/04: modified show method, setYuima sets the sampling from the data if sampling is missing 2014/07/07: modified llag.R, llag.Rd, cce_functions.c; estimated cross-correlation functions are converted to values in [-1,1] 2014/07/31: fixed setSampling and print methods 2014/09/08: fixed a bug in cce_functions.c 2014/09/23: added Compound Poisson simulator 2014/11/10: fixed a bug in cce_functions.c changed the optimization method of the method "QMLE" of cce modified cce.Rd 2014/11/11: fixed a bug in cce.R (method "GME") modified the example of cce.Rd 2015/04/02: fixed a bug in rng.R (function "rstable") 2015/04/21: added hyavar.R, hyavar.Rd (asymptotic variance estimator for HY) fixed a bug in llag.R modified cce.Rd, cce_functions.c 2015/05/14: fixed a bug in cce_functions.c 2015/09/01: fixed a bug in cce_functions.c add some contents to the examples of cce 2015/10/10: modified llag.R, cce.Rd, llag.Rd, mpv.Rd, noisy.sampling.Rd, cce_functions.c added mllag.R, mllag.Rd (multiple lead-lag detector); spectralcov.R, spectralcov.Rd (spectral covariance estimator) 2016/01/14: modified rng.R, rng.Rd, adaBayes.Rd, qmle.Rd, setModel.Rd, spectralcov.Rd 2016/05/26: added rpts and rnts in rng.R and the corresponding c language file 2016/07/08: fixed some bugs in llag.R and cce_functions.c 2016/10/04: modified setMultiModel.R, sim.euler.R and yuima.model.R to generate nts and pts process 2016/12/16: added rGIG, rGH, dGIG and dGH in rng.R and the corresponding c language file YU 2017/01/25: modified sim.euler.R and added euler.c to implement the Euler-Maruyama scheme by the C code (only the diffusion case) 2017/02/23: modified sim.euler.R and removed euler.c due to a memory corruption fix a bug in sim.euler.R 2017/03/27: added IC.R and qmleLevy.R 2017/04/12: fix a bug in sim.euler.R (re-)added euler.c 2017/04/27: modified qmleLevy.R, qmleLevy.Rd, IC.Rd 2017/09/09: boot package is imported added llag.test.R, llag.test.Rd modified llag.R, bns.test.Rd, llag.Rd, mllag.Rd, hyavar.Rd, cce.Rd, cce_functions.c 2018/01/16: a bug in computation of asymptotic variances in llag is fixed the default value of tol of llag is changed to 1e-7 modified llag.R, llag.Rd, cce_functions.c 2018/04/12: a bug in cce is fixed

Reference manual

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1.9.6 by Stefano M. Iacus, a year ago

Browse source code at

Authors: YUIMA Project Team

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-2 license

Imports Rcpp, boot, glassoFast

Depends on methods, zoo, stats4, utils, expm, cubature, mvtnorm

Linking to Rcpp, RcppArmadillo

Imported by pcmabc, valuer, yuimaGUI.

See at CRAN