Simulation and Inference for Stochastic Processes with YUIMA
Language: English
Published by Springer, Palgrave Macmillan Jun 2018, 2018
Series: Book 58 of 68 - Use R!
- Softcover
- New
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germanybuchversandmimpf2000
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Add to basketItem description from seller
This item is printed on demand - Print on Demand Titel. Neuware -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.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 268 pp. Englisch.…
Seller Inventory # 9783319555676
- Title
- Simulation and Inference for Stochastic Processes with YUIMA
- Author
- Stefano M. Iacus
- Publisher
- Springer, Palgrave Macmillan Jun 2018
- Publication year
- 2018
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3319555677
- ISBN 13
- 9783319555676
- Item weight
- 435 grams
- Dimensions
- 235x155x16 mm
- Series
- Book 58 of 68: Use R!
"Synopsis" may belong to another edition of this title.
About the Author
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.
"About the title" may belong to another edition of this title.
buchversandmimpf2000
Emtmannsberg, BAYE, Germany
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