The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations
The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations
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DOI：
10.18637/jss.v057.i04
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发表时间：
2014-04
影响因子：
5.8
通讯作者：
A. Brouste;M. Fukasawa;H. Hino;S. Iacus;K. Kamatani;Yuta Koike;Hiroki Masuda;Ryo Nomura;Teppei Ogihara;Yasutaka Shimuzu;Masayuki Uchida;N. Yoshida
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文献类型：
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作者：
A. Brouste;M. Fukasawa;H. Hino;S. Iacus;K. Kamatani;Yuta Koike;Hiroki Masuda;Ryo Nomura;Teppei Ogihara;Yasutaka Shimuzu;Masayuki Uchida;N. Yoshida
YUIMA项目是一个开源和协作的项目，旨在开发用于模拟和推断随机微分方程的R包YUIMA。在YUIMA包中，随机微分方程可以是非常抽象的类型，多维的，由Wiener过程或带有一般Hurst参数的分数布朗运动驱动，有或没有跳跃被指定为Levy噪声。YUIMA包旨在提供基本的基础设施，复杂的模型和推理程序可以在此基础上建立。本文介绍了育马包装的设计，并提供了一些应用实例。
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 Levy 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.