The YUIMA Project Package for SDEs

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Documentation for package ‘yuima’ version 1.9.1

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A B C D E F G H I J L M N P Q R S T V Y

-- A --

adaBayes Adaptive Bayes estimator for the parameters in sde model
adaBayes-method Adaptive Bayes estimator for the parameters in sde model
asymptotic_term asymptotic expansion of the expected value of the functional
asymptotic_term-method asymptotic expansion of the expected value of the functional

-- B --

bns.test Barndorff-Nielsen and Shephard's Test for the Presence of Jumps Using Bipower Variation
bns.test-method Barndorff-Nielsen and Shephard's Test for the Presence of Jumps Using Bipower Variation

-- C --

CARMA Continuous Autoregressive Moving Average (p, q) model
Carma Continuous Autoregressive Moving Average (p, q) model
carma.info-class Class for information about CARMA(p,q) model
carma.qmle Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) model
Carma.Recovering Estimation for the underlying Levy in a carma model
CarmaNoise Estimation for the underlying Levy in a carma model
CarmaRecovNoise Estimation for the underlying Levy in a carma model
cbind-method Class for stochastic differential equations
cbind.yuima Set and access data of an object of type "yuima.data" or "yuima".
cbind.yuima-method Class "yuima.data" for the data slot of a "yuima" class object
cce Nonsynchronous Cumulative Covariance Estimator
cce-method Class for stochastic differential equations
cce-method Class "yuima.data" for the data slot of a "yuima" class object
cce.factor High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization
cdf Methods for an object of class 'yuima.law'
cdf-method Class of yuima law
char Methods for an object of class 'yuima.law'
char-method Class of yuima law
COGARCH Continuous-time GARCH (p,q) process
CoGarch Continuous-time GARCH (p,q) process
Cogarch Continuous-time GARCH (p,q) process
cogarch Continuous-time GARCH (p,q) process
cogarch.est-class Class for Generalized Method of Moments Estimation for COGARCH(p,q) model
cogarch.est.incr-class Class for Estimation of COGARCH(p,q) model with underlying increments
cogarch.info-class Class for information about CoGarch(p,q)
cogarch.Recovering Estimation for the underlying Levy in a COGARCH(p,q) model
cogarchNoise Estimation for the underlying Levy in a COGARCH(p,q) model
CogarchRecovNoise Estimation for the underlying Levy in a COGARCH(p,q) model
CP.qmle Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models
CPoint Volatility structural change point estimator

-- D --

Data Five minutes Log SPX prices
DataPPR From 'zoo' data to 'yuima.PPR'.
dbgamma Random numbers and densities
dconst Fictitious rng for the constant random variable used to generate and describe Poisson jumps.
dens Methods for an object of class 'yuima.law'
dens-method Class of yuima law
dGH Random numbers and densities
dGIG Random numbers and densities
Diagnostic.Carma Diagnostic Carma model
Diagnostic.Cogarch Function for checking the statistical properties of the COGARCH(p,q) model
dIG Random numbers and densities
dim Set and access data of an object of type "yuima.data" or "yuima".
dim-method Class for stochastic differential equations
dim-method Class "yuima.data" for the data slot of a "yuima" class object
dNIG Random numbers and densities
dvgamma Random numbers and densities

-- E --

est.cogarch.incr-class Class for Estimation of COGARCH(p,q) model with underlying increments

-- F --

F0 Calculate the value of functional
F0-method Calculate the value of functional
Fnorm Calculate the value of functional
Fnorm-method Calculate the value of functional

-- G --

get.counting.data Extract arrival times from an object of class 'yuima.PPR'
get.zoo.data Set and access data of an object of type "yuima.data" or "yuima".
get.zoo.data-method Class for stochastic differential equations
get.zoo.data-method Class "yuima.data" for the data slot of a "yuima" class object
gete Description of a functional associated with a perturbed stochastic differential equation
gete-method Classes for stochastic differential equations data object
getF Description of a functional associated with a perturbed stochastic differential equation
getf Description of a functional associated with a perturbed stochastic differential equation
getF-method Classes for stochastic differential equations data object
getf-method Classes for stochastic differential equations data object
getxinit Description of a functional associated with a perturbed stochastic differential equation
getxinit-method Classes for stochastic differential equations data object
gmm Method of Moments for COGARCH(P,Q).
gmm.COGARCH Method of Moments for COGARCH(P,Q).

-- H --

hyavar Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

-- I --

IC Information criteria for the stochastic differential equation
info.Map Class for information about Map/Operators
info.Map-class Class for information about Map/Operators
info.PPR Class for information about Point Process
info.PPR-class Class for information about Point Process
initialize-method Class for the mathematical description of integral of a stochastic process
initialize-method Class for the mathematical description of integral of a stochastic process
initialize-method Class for information about Map/Operators
initialize-method Class for information about Point Process
initialize-method Class for the mathematical description of integral of a stochastic process
initialize-method Class for information about Map/Operators
initialize-method Class for the mathematical description of integral of a stochastic process
initialize-method Class for stochastic differential equations
initialize-method Class for a mathematical description of a Point Process
initialize-method Class for the mathematical description of integral of a stochastic process
initialize-method Class for the mathematical description of function of a stochastic process
initialize-method Class for a mathematical description of a Point Process
initialize-method Class for the mathematical description of CARMA(p,q) model
initialize-method Classe for stochastic differential equations characteristic scheme
initialize-method Class for the mathematical description of CoGarch(p,q) model
initialize-method Class "yuima.data" for the data slot of a "yuima" class object
initialize-method Classes for stochastic differential equations data object
initialize-method Class of yuima law
initialize-method Classes for the mathematical description of stochastic differential equations
initialize-method Class for the mathematical description of Multi dimensional Jump Diffusion processes
initialize-method Class for the mathematical description of Compound Poisson processes
initialize-method Classes for stochastic differential equations sampling scheme
Integral.sde Class for the mathematical description of integral of a stochastic process
Integral.sde-class Class for the mathematical description of integral of a stochastic process
Integrand Class for the mathematical description of integral of a stochastic process
Integrand-class Class for the mathematical description of integral of a stochastic process
Intensity.PPR Intesity Process for the Point Process Regression Model

-- J --

JBtest Remove jumps and calculate the Gaussian quasi-likelihood estimator based on the Jarque-Bera normality test

-- L --

lambdaFromData Intensity of a Point Process Regression Model
lasso Adaptive LASSO estimation for stochastic differential equations
LawMethods Methods for an object of class 'yuima.law'
length Set and access data of an object of type "yuima.data" or "yuima".
length-method Class for stochastic differential equations
length-method Class "yuima.data" for the data slot of a "yuima" class object
Levy.Carma Estimation for the underlying Levy in a carma model
Levy.cogarch Estimation for the underlying Levy in a COGARCH(p,q) model
limiting.gamma calculate the value of limiting covariance matrices : Gamma
limiting.gamma-method Class for stochastic differential equations
limiting.gamma-method Class for the mathematical description of CARMA(p,q) model
limiting.gamma-method Class for the mathematical description of CoGarch(p,q) model
limiting.gamma-method Classes for the mathematical description of stochastic differential equations
llag Lead Lag Estimator
llag-method Lead Lag Estimator
llag-method Class for stochastic differential equations
llag-method Class "yuima.data" for the data slot of a "yuima" class object
llag.test Wild Bootstrap Test for the Absence of Lead-Lag Effects
lmm Spectral Method for Cumulative Covariance Estimation
LogSPX Five minutes Log SPX prices
lse Calculate quasi-likelihood and ML estimator of least squares estimator
LSE-method Class for stochastic differential equations
lseBayes Adaptive Bayes estimator for the parameters in sde model by using LSE functions
lseBayes-method Adaptive Bayes estimator for the parameters in sde model by using LSE functions

-- M --

Map of SDE Map of a Stochastic Differential Equation
Map of yuima Map of a Stochastic Differential Equation
Method of Moment COGARCH Method of Moments for COGARCH(P,Q).
ml.ql-method Class for stochastic differential equations
mllag Multiple Lead-Lag Detector
mmfrac mmfrac
model.parameter-class Class for the parameter description of stochastic differential equations
mpv Realized Multipower Variation
mpv-method Realized Multipower Variation
MWK151 Graybill - Methuselah Walk - PILO - ITRDB CA535

-- N --

NoisePPR Extract arrival times from an object of class 'yuima.PPR'
noisy.sampling Noisy Observation Generator
noisy.sampling-method Noisy Observation Generator

-- P --

param.Integral Class for the mathematical description of integral of a stochastic process
param.Integral-class Class for the mathematical description of integral of a stochastic process
param.Map Class for information about Map/Operators
param.Map-class Class for information about Map/Operators
phi.test Phi-divergence test statistic for stochastic differential equations
plot-method Class for Estimation of COGARCH(p,q) model with underlying increments
plot-method Class for Generalized Method of Moments Estimation for COGARCH(p,q) model
plot-method Class for stochastic differential equations
plot-method Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models
plot-method Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) model
plot-method Class "yuima.data" for the data slot of a "yuima" class object
poisson.random.sampling Poisson random sampling method
poisson.random.sampling-method Class for stochastic differential equations
poisson.random.sampling-method Class "yuima.data" for the data slot of a "yuima" class object
PPR.qmle Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models
pseudologlikelihood Calculate quasi-likelihood and ML estimator of least squares estimator
pseudologlikelihood.COGARCH Calculate quasi-likelihood and ML estimator of least squares estimator

-- Q --

qgv qgv
ql-method Class for stochastic differential equations
qmle Calculate quasi-likelihood and ML estimator of least squares estimator
qmle.carma Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) model
qmle.CP Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models
qmle.PPR Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models
qmleL Volatility structural change point estimator
qmleLevy Gaussian quasi-likelihood estimation for Levy driven SDE
qmleR Volatility structural change point estimator
quant Methods for an object of class 'yuima.law'
quant-method Class of yuima law
quasilogl Calculate quasi-likelihood and ML estimator of least squares estimator

-- R --

rand Methods for an object of class 'yuima.law'
rand-method Methods for an object of class 'yuima.law'
rand-method Class of yuima law
rbgamma Random numbers and densities
rconst Fictitious rng for the constant random variable used to generate and describe Poisson jumps.
Recovering.Noise Estimation for the underlying Levy in a carma model
Recovering.Noise.cogarch Estimation for the underlying Levy in a COGARCH(p,q) model
rGH Random numbers and densities
rGIG Random numbers and densities
rIG Random numbers and densities
rng Random numbers and densities
rNIG Random numbers and densities
rnts Random numbers and densities
rpts Random numbers and densities
rql Calculate quasi-likelihood and ML estimator of least squares estimator
rql-method Class for stochastic differential equations
rstable Random numbers and densities
rvgamma Random numbers and densities

-- S --

setCarma Continuous Autoregressive Moving Average (p, q) model
setCharacteristic Set characteristic information and create a 'characteristic' object.
setCogarch Continuous-time GARCH (p,q) process
setData Set and access data of an object of type "yuima.data" or "yuima".
setFunctional Description of a functional associated with a perturbed stochastic differential equation
setFunctional-method Description of a functional associated with a perturbed stochastic differential equation
setHawkes Constructor of Hawkes model
setIntegral Integral of Stochastic Differential Equation
setLaw Random variable constructor
setMap Map of a Stochastic Differential Equation
setModel Basic description of stochastic differential equations (SDE)
setPoisson Basic constructor for Compound Poisson processes
setPPR Point Process
setSampling Set sampling information and create a 'sampling' object.
setYuima Creates a "yuima" object by combining "model", "data", "sampling", "characteristic" and "functional"slots.
simFunctional Calculate the value of functional
simFunctional-method Calculate the value of functional
simulate Simulator function for multi-dimensional stochastic processes
simulate-method Class for Estimation of COGARCH(p,q) model with underlying increments
simulate-method Class for stochastic differential equations
simulate-method Class for a mathematical description of a Point Process
simulate-method Class for the mathematical description of integral of a stochastic process
simulate-method Class for the mathematical description of function of a stochastic process
simulate-method Class for a mathematical description of a Point Process
simulate-method Class for the mathematical description of CARMA(p,q) model
simulate-method Class for the mathematical description of CoGarch(p,q) model
simulate-method Classes for the mathematical description of stochastic differential equations
simulate-method Class for the mathematical description of Multi dimensional Jump Diffusion processes
snr Calculating self-normalized residuals for SDEs.
spectralcov Spectral Method for Cumulative Covariance Estimation
subsampling subsampling
subsampling-method Class for stochastic differential equations
subsampling-method Class "yuima.data" for the data slot of a "yuima" class object

-- T --

toLatex Additional Methods for LaTeX Representations for Yuima objects
toLatex.yuima Additional Methods for LaTeX Representations for Yuima objects
toLatex.yuima.carma Additional Methods for LaTeX Representations for Yuima objects
toLatex.yuima.cogarch Additional Methods for LaTeX Representations for Yuima objects
toLatex.yuima.model Additional Methods for LaTeX Representations for Yuima objects

-- V --

variable.Integral Class for the mathematical description of integral of a stochastic process
variable.Integral-class Class for the mathematical description of integral of a stochastic process

-- Y --

yuima-class Class for stochastic differential equations
yuima.carma-class Class for the mathematical description of CARMA(p,q) model
yuima.carma.qmle-class Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) model
yuima.characteristic-class Classe for stochastic differential equations characteristic scheme
yuima.cogarch-class Class for the mathematical description of CoGarch(p,q) model
yuima.CP.qmle-class Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models
yuima.data-class Class "yuima.data" for the data slot of a "yuima" class object
yuima.functional-class Classes for stochastic differential equations data object
yuima.Hawkes Class for a mathematical description of a Point Process
yuima.Hawkes-class Class for a mathematical description of a Point Process
yuima.Integral Class for the mathematical description of integral of a stochastic process
yuima.Integral-class Class for the mathematical description of integral of a stochastic process
yuima.law Class of yuima law
yuima.law-class Class of yuima law
yuima.Map Class for the mathematical description of function of a stochastic process
yuima.Map-class Class for the mathematical description of function of a stochastic process
yuima.model Classes for the mathematical description of stochastic differential equations
yuima.model-class Classes for the mathematical description of stochastic differential equations
yuima.multimodel Class for the mathematical description of Multi dimensional Jump Diffusion processes
yuima.multimodel-class Class for the mathematical description of Multi dimensional Jump Diffusion processes
yuima.poisson-class Class for the mathematical description of Compound Poisson processes
yuima.PPR Class for a mathematical description of a Point Process
yuima.PPR-class Class for a mathematical description of a Point Process
yuima.PPR.qmle-class Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models
yuima.PPR.qmle-method Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models
yuima.qmle-class Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models
yuima.sampling-class Classes for stochastic differential equations sampling scheme