The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

Alexandre Brouste; Masaaki Fukasawa; Hideitsu Hino; Stefano M. Iacus; Kengo Kamatani; Yuta Koike; Hiroki Masuda; Ryosuke Nomura; Teppei Ogihara; Yasutaka Shimuzu; Masayuki Uchida; Nakahiro Yoshida

doi:10.18637/jss.v057.i04

The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

Alexandre Brouste^*, Masaaki Fukasawa, Hideitsu Hino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

47 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1-51
Number of pages	51
Journal	Journal of Statistical Software
Volume	57
Issue number	4
DOIs	https://doi.org/10.18637/jss.v057.i04
Publication status	Published - 2014
Externally published	Yes

Keywords

Inference for stochastic processes
Simulation
Stochastic differential equations

ASJC Scopus subject areas

Software
Statistics and Probability
Statistics, Probability and Uncertainty

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10.18637/jss.v057.i04

Cite this

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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

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The YUIMA project: A computational framework for simulation and inference of stochastic differential equations

Abstract

Keywords

ASJC Scopus subject areas

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