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統計数学セミナー
過去の記録 ～05/01｜次回の予定｜今後の予定 05/02～
| 担当者 | 吉田朋広、増田弘毅、荻原哲平、小池祐太 |
|---|---|
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2020年02月12日(水)
15:00-16:10 数理科学研究科棟(駒場) 126号室
Lorenzo Mercuri 氏 (University of Milan)
Handling the underlying noise of Stochastic Differential Equations in YUIMA project
Lorenzo Mercuri 氏 (University of Milan)
Handling the underlying noise of Stochastic Differential Equations in YUIMA project
[ 講演概要 ]
Some advances in the implementation of advanced mathematical tools and numerical methods for an object of class yuima.law are presented and discussed. An object of yuima.law-class refers to the mathematical description of the underlying noise specified in the formal definition of a general Stochastic Differential Equation. Its aim is to create a link between YUIMA and other R packages available on CRAN for managing specific Lévy noises. Here we present as examples the simulation and the estimation of a CARMA(p,q) and Point Process regression models.
Some advances in the implementation of advanced mathematical tools and numerical methods for an object of class yuima.law are presented and discussed. An object of yuima.law-class refers to the mathematical description of the underlying noise specified in the formal definition of a general Stochastic Differential Equation. Its aim is to create a link between YUIMA and other R packages available on CRAN for managing specific Lévy noises. Here we present as examples the simulation and the estimation of a CARMA(p,q) and Point Process regression models.
