The YUIMA Project Package for SDEs

Documentation for package ‘yuima’ version 1.15.27

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

-- A --

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

-- 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
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

-- 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	'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

-- E --

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

-- F --

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'.

-- 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 --

Hawkes.Carma.Intensity	Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensity
hyavar	Asymptotic Variance Estimator for the Hayashi-Yoshida estimator

-- I --

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

-- 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
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

-- M --

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

-- N --

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

-- 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 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

-- 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.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

-- R --

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

-- S --

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 --

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

-- 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

-- W --

wllag

Scale-by-scale lead-lag estimation

-- Y --

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.