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Seminar on Probability and Statistics
Seminar information archive ～04/26｜Next seminar｜Future seminars 04/27～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2020/02/12
15:00-16:10 Room #126 (Graduate School of Math. Sci. Bldg.)
Lorenzo Mercuri (University of Milan)
Handling the underlying noise of Stochastic Differential Equations in YUIMA project
Lorenzo Mercuri (University of Milan)
Handling the underlying noise of Stochastic Differential Equations in YUIMA project
[ Abstract ]
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.
