TY - JOUR
T1 - The YUIMA project
T2 - A computational framework for simulation and inference of stochastic differential equations
AU - Brouste, Alexandre
AU - Fukasawa, Masaaki
AU - Hino, Hideitsu
AU - Iacus, Stefano M.
AU - Kamatani, Kengo
AU - Koike, Yuta
AU - Masuda, Hiroki
AU - Nomura, Ryosuke
AU - Ogihara, Teppei
AU - Shimuzu, Yasutaka
AU - Uchida, Masayuki
AU - Yoshida, Nakahiro
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84898714770&partnerID=8YFLogxK
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U2 - 10.18637/jss.v057.i04
DO - 10.18637/jss.v057.i04
M3 - Article
AN - SCOPUS:84898714770
SN - 1548-7660
VL - 57
SP - 1
EP - 51
JO - Journal of Statistical Software
JF - Journal of Statistical Software
IS - 4
ER -