A B C D E F G H I J L M N P Q R S T V W Y
adaBayes | Adaptive Bayes estimator for the parameters in sde model |
adaBayes-method | Adaptive Bayes estimator for the parameters in sde model |
ae | Asymptotic Expansion |
aeCharacteristic | Asymptotic Expansion - Characteristic Function |
aeDensity | Asymptotic Expansion - Density |
aeExpectation | Asymptotic Expansion - Functionals |
aeKurtosis | Asymptotic Expansion - Kurtosis |
aeMarginal | Asymptotic Expansion - Marginals |
aeMean | Asymptotic Expansion - Mean |
aeMoment | Asymptotic Expansion - Moments |
aeSd | Asymptotic Expansion - Standard Deviation |
aeSkewness | Asymptotic Expansion - Skewness |
asymptotic_term | asymptotic expansion of the expected value of the functional |
asymptotic_term-method | asymptotic expansion of the expected value of the functional |
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 |
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 |
CarmaHawkes | Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensity |
carmaHawkes.info-class | Class for information on the Hawkes process with a CARMA(p,q) intensity |
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 | 'yuima law-class': A mathematical description for the noise. |
cdf-method | 'yuima.th-class': A mathematical description for the t-Levy process. |
char | Methods for an object of class 'yuima.law' |
char-method | 'yuima law-class': A mathematical description for the noise. |
char-method | 'yuima.th-class': A mathematical description for the t-Levy process. |
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 |
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 | 'yuima law-class': A mathematical description for the noise. |
dens-method | 'yuima.th-class': A mathematical description for the t-Levy process. |
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 |
est.cogarch.incr-class | Class for Estimation of COGARCH(p,q) model with underlying increments |
Estimation of t-Levy Regression Model | Estimation of the t-Levy Regression Model |
Estimation.LevyIncr | Gaussian quasi-likelihood estimation for Levy driven SDE |
estimation_LRM | Estimation of the t-Levy Regression Model |
estimation_RLM,yuima.LevyRM-function | 'yuima.LevyRM': A class for the mathematical description of the t-Student regression model. |
EstimCarmaHawkes | Estimation Methods for a CARMA(p,q)-Hawkes Counting Process |
F0 | Calculate the value of functional |
F0-method | Calculate the value of functional |
fitCIR | Calculate preliminary estimator and one-step improvements of a Cox-Ingersoll-Ross diffusion |
Fnorm | Calculate the value of functional |
Fnorm-method | Calculate the value of functional |
FromCF2yuima_law | From a Characteristic Function to an 'yuima.law-object'. |
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). |
Hawkes.Carma.Intensity | Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensity |
hyavar | Asymptotic Variance Estimator for the Hayashi-Yoshida estimator |
IC | Information criteria for the stochastic differential equation |
incr.qmleLevy | Class for Quasi Maximum Likelihood Estimation of Levy SDE model |
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 | 'yuima.LevyRM': A class for the mathematical description of the t-Student regression model. |
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 asymptotic expansion of diffusion processes |
initialize-method | Class for the mathematical description of CARMA(p,q) model |
initialize-method | Class for the mathematical description of a Hawkes process with a CARMA(p,q) intensity |
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 | 'yuima law-class': A mathematical description for the noise. |
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 | Class for Quasi Maximum Likelihood Estimation of Levy SDE model |
initialize-method | Classes for stochastic differential equations sampling scheme |
initialize-method | 'yuima.th-class': A mathematical description for the t-Levy process. |
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 |
JBtest | Remove jumps and calculate the Gaussian quasi-likelihood estimator based on the Jarque-Bera normality test |
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 |
LevySDE | Gaussian quasi-likelihood estimation for Levy driven SDE |
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 |
lm.jumptest | Lee and Mykland's Test for the Presence of Jumps Using Normalized Returns |
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 |
Map of SDE | Map of a Stochastic Differential Equation |
Map of yuima | Map of a Stochastic Differential Equation |
medrv | Volatility Estimation and Jump Test Using Nearest Neighbor Truncation |
medrv.test | Volatility Estimation and Jump Test Using Nearest Neighbor Truncation |
Method of Moment COGARCH | Method of Moments for COGARCH(P,Q). |
MethodOfMoments.CarmaHawkes | Estimation Methods for a CARMA(p,q)-Hawkes Counting Process |
minrv | Volatility Estimation and Jump Test Using Nearest Neighbor Truncation |
minrv.test | Volatility Estimation and Jump Test Using Nearest Neighbor Truncation |
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 |
NoisePPR | Extract arrival times from an object of class 'yuima.PPR' |
noisy.sampling | Noisy Observation Generator |
noisy.sampling-method | Noisy Observation Generator |
ntv | Volatility Estimation and Jump Test Using Nearest Neighbor Truncation |
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 the asymptotic expansion of diffusion processes |
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 |
pz.test | Podolskij and Ziggel's Test for the Presence of Jumps Using Power Variation with Perturbed Truncation |
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.CarmaHawkes | Estimation Methods for a CARMA(p,q)-Hawkes Counting Process |
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 |
qmleLevy.incr | Class for Quasi Maximum Likelihood Estimation of Levy SDE model |
qmleR | Volatility structural change point estimator |
quant | Methods for an object of class 'yuima.law' |
quant-method | 'yuima law-class': A mathematical description for the noise. |
quant-method | 'yuima.th-class': A mathematical description for the t-Levy process. |
quasilogl | Calculate quasi-likelihood and ML estimator of least squares estimator |
rand | Methods for an object of class 'yuima.law' |
rand-method | Methods for an object of class 'yuima.law' |
rand-method | 'yuima law-class': A mathematical description for the noise. |
rand-method | 'yuima.th-class': A mathematical description for the t-Levy process. |
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 |
setCarma | Continuous Autoregressive Moving Average (p, q) model |
setCarmaHawkes | Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensity |
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 |
setLaw_th | Constructior of a t-Levy process. |
setLRM | A constructor of a t-Student Regression Model. |
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. |
show-method | Class "yuima.snr" for self-normalized residuals of SDE "yuima" class object |
simBmllag | Simulation of increments of bivariate Brownian motions with multi-scale lead-lag relationships |
simBmllag.coef | Simulation of increments of bivariate Brownian motions with multi-scale lead-lag relationships |
simCIR | Simulation of the Cox-Ingersoll-Ross diffusion |
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 | 'yuima.LevyRM': A class for the mathematical description of the t-Student regression model. |
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-Levy process | 'yuima.th-class': A mathematical description for the t-Levy process. |
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 |
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 |
wllag | Scale-by-scale lead-lag estimation |
ybook | R code for the Yuima Book |
yuima-class | Class for stochastic differential equations |
yuima.ae-class | Class for the asymptotic expansion of diffusion processes |
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.carmaHawkes-class | Class for the mathematical description of a Hawkes process with a CARMA(p,q) intensity |
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 | 'yuima law-class': A mathematical description for the noise. |
yuima.law-class | 'yuima law-class': A mathematical description for the noise. |
yuima.LevyRM | 'yuima.LevyRM': A class for the mathematical description of the t-Student regression model. |
yuima.LevyRM-class | 'yuima.LevyRM': A class for the mathematical description of the t-Student regression model. |
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.qmleLevy.incr-class | Class for Quasi Maximum Likelihood Estimation of Levy SDE model |
yuima.qmleLevy.incr-method | Class for Quasi Maximum Likelihood Estimation of Levy SDE model |
yuima.sampling-class | Classes for stochastic differential equations sampling scheme |
yuima.snr-class | Class "yuima.snr" for self-normalized residuals of SDE "yuima" class object |
yuima.th | 'yuima.th-class': A mathematical description for the t-Levy process. |
yuima.th-class | 'yuima.th-class': A mathematical description for the t-Levy process. |