| Adaptive Bayes estimator for the parameters in sde model | adaBayes adaBayes,yuima-method |
| Asymptotic Expansion | ae |
| Asymptotic Expansion - Characteristic Function | aeCharacteristic |
| Asymptotic Expansion - Density | aeDensity |
| Asymptotic Expansion - Functionals | aeExpectation |
| Asymptotic Expansion - Kurtosis | aeKurtosis |
| Asymptotic Expansion - Marginals | aeMarginal |
| Asymptotic Expansion - Mean | aeMean |
| Asymptotic Expansion - Moments | aeMoment |
| Asymptotic Expansion - Standard Deviation | aeSd |
| Asymptotic Expansion - Skewness | aeSkewness |
| asymptotic expansion of the expected value of the functional | asymptotic_term asymptotic_term,yuima-method |
| Barndorff-Nielsen and Shephard's Test for the Presence of Jumps Using Bipower Variation | bns.test bns.test,list-method bns.test,yuima-method bns.test,yuima.data-method |
| Class for information about CARMA(p,q) model | carma.info-class |
| Class for information on the Hawkes process with a CARMA(p,q) intensity | carmaHawkes.info-class |
| Estimation for the underlying Levy in a carma model | Carma.Recovering CarmaNoise CarmaRecovNoise Levy.Carma Recovering.Noise |
| Nonsynchronous Cumulative Covariance Estimator | cce |
| High-Dimensional Cumulative Covariance Estimator by Factor Modeling and Regularization | cce.factor |
| Class for Quasi Maximum Likelihood Estimation of Point Process Regression Models | PPR.qmle qmle.PPR yuima.PPR.qmle,ANY-method yuima.PPR.qmle-class |
| Class for Generalized Method of Moments Estimation for COGARCH(p,q) model | cogarch.est-class plot,cogarch.est.,ANY-method |
| Class for Estimation of COGARCH(p,q) model with underlying increments | cogarch.est.incr-class est.cogarch.incr-class plot,cogarch.est.incr,ANY-method simulate,cogarch.est.incr-method |
| Class for information about CoGarch(p,q) | cogarch.info-class |
| Estimation for the underlying Levy in a COGARCH(p,q) model | cogarch.Recovering cogarchNoise CogarchRecovNoise Levy.cogarch Recovering.Noise.cogarch |
| Volatility structural change point estimator | CPoint qmleL qmleR |
| From 'zoo' data to 'yuima.PPR'. | DataPPR |
| Diagnostic Carma model | Diagnostic.Carma |
| Function for checking the statistical properties of the COGARCH(p,q) model | Diagnostic.Cogarch |
| Estimation of the t-Levy Regression Model | Estimation of t-Levy Regression Model estimation_LRM |
| Estimation Methods for a CARMA(p,q)-Hawkes Counting Process | EstimCarmaHawkes MethodOfMoments.CarmaHawkes qmle.CarmaHawkes |
| Calculate preliminary estimator and one-step improvements of a Cox-Ingersoll-Ross diffusion | fitCIR |
| From a Characteristic Function to an 'yuima.law-object'. | FromCF2yuima_law |
| Extract arrival times from an object of class 'yuima.PPR' | get.counting.data NoisePPR |
| Method of Moments for COGARCH(P,Q). | gmm gmm.COGARCH Method of Moment COGARCH |
| Asymptotic Variance Estimator for the Hayashi-Yoshida estimator | hyavar |
| Information criteria for the stochastic differential equation | IC |
| Class for information about Map/Operators | info.Map info.Map-class initialize,info.Map-method |
| Class for information about Point Process | info.PPR info.PPR-class initialize,info.PPR-method |
| Class for the mathematical description of integral of a stochastic process | initialize,Integral.sde-method Integral.sde Integral.sde-class |
| Class for the mathematical description of integral of a stochastic process | initialize,Integrand-method Integrand Integrand-class |
| Intesity Process for the Point Process Regression Model | Intensity.PPR |
| Remove jumps and calculate the Gaussian quasi-likelihood estimator based on the Jarque-Bera normality test | JBtest |
| Intensity of a Point Process Regression Model | lambdaFromData |
| Adaptive LASSO estimation for stochastic differential equations | lasso |
| Methods for an object of class 'yuima.law' | cdf char dens LawMethods quant rand rand-method |
| calculate the value of limiting covariance matrices : Gamma | limiting.gamma |
| Lead Lag Estimator | llag llag,list-method |
| Wild Bootstrap Test for the Absence of Lead-Lag Effects | llag.test |
| Lee and Mykland's Test for the Presence of Jumps Using Normalized Returns | lm.jumptest |
| Five minutes Log SPX prices | Data LogSPX |
| Adaptive Bayes estimator for the parameters in sde model by using LSE functions | lseBayes lseBayes,yuima-method |
| Multiple Lead-Lag Detector | mllag |
| mmfrac | mmfrac |
| Class for the parameter description of stochastic differential equations | model.parameter-class |
| Realized Multipower Variation | mpv mpv,yuima-method mpv,yuima.data-method |
| Graybill - Methuselah Walk - PILO - ITRDB CA535 | MWK151 |
| Noisy Observation Generator | noisy.sampling noisy.sampling,yuima-method noisy.sampling,yuima.data-method |
| Volatility Estimation and Jump Test Using Nearest Neighbor Truncation | medrv medrv.test minrv minrv.test ntv |
| Class for the mathematical description of integral of a stochastic process | initialize,param.Integral-method param.Integral param.Integral-class |
| Class for information about Map/Operators | initialize,param.Map-method param.Map param.Map-class |
| Phi-divergence test statistic for stochastic differential equations | phi.test |
| Poisson random sampling method | poisson.random.sampling |
| Podolskij and Ziggel's Test for the Presence of Jumps Using Power Variation with Perturbed Truncation | pz.test |
| qgv | qgv |
| Calculate quasi-likelihood and ML estimator of least squares estimator | lse pseudologlikelihood pseudologlikelihood.COGARCH qmle quasilogl rql |
| Gaussian quasi-likelihood estimation for Levy driven SDE | Estimation.LevyIncr LevySDE qmleLevy |
| Fictitious rng for the constant random variable used to generate and describe Poisson jumps. | dconst rconst |
| Random numbers and densities | dbgamma dGH dGIG dIG dNIG dvgamma rbgamma rGH rGIG rIG rng rNIG rnts rpts rstable rvgamma |
| Continuous Autoregressive Moving Average (p, q) model | CARMA Carma setCarma |
| Hawkes Process with a Continuous Autoregressive Moving Average(p, q) intensity | CarmaHawkes Hawkes.Carma.Intensity setCarmaHawkes |
| Set characteristic information and create a `characteristic' object. | setCharacteristic |
| Continuous-time GARCH (p,q) process | COGARCH CoGarch Cogarch cogarch setCogarch |
| Set and access data of an object of type "yuima.data" or "yuima". | cbind.yuima dim get.zoo.data length setData |
| Description of a functional associated with a perturbed stochastic differential equation | gete getF getf getxinit setFunctional setFunctional,yuima-method setFunctional,yuima.model-method |
| Constructor of Hawkes model | setHawkes |
| Integral of Stochastic Differential Equation | setIntegral |
| Random variable constructor | setLaw |
| Constructior of a t-Levy process. | setLaw_th |
| A constructor of a t-Student Regression Model. | setLRM |
| Map of a Stochastic Differential Equation | Map of SDE Map of yuima setMap |
| Basic description of stochastic differential equations (SDE) | setModel |
| Basic constructor for Compound Poisson processes | setPoisson |
| Point Process | setPPR |
| Set sampling information and create a `sampling' object. | setSampling |
| Creates a "yuima" object by combining "model", "data", "sampling", "characteristic" and "functional"slots. | setYuima |
| Simulation of increments of bivariate Brownian motions with multi-scale lead-lag relationships | simBmllag simBmllag.coef |
| Simulation of the Cox-Ingersoll-Ross diffusion | simCIR |
| Calculate the value of functional | F0 F0,yuima-method Fnorm Fnorm,yuima-method simFunctional simFunctional,yuima-method |
| Simulator function for multi-dimensional stochastic processes | simulate |
| Calculating self-normalized residuals for SDEs. | snr |
| Spectral Method for Cumulative Covariance Estimation | lmm spectralcov |
| subsampling | subsampling |
| Additional Methods for LaTeX Representations for Yuima objects | toLatex toLatex.yuima toLatex.yuima.carma toLatex.yuima.cogarch toLatex.yuima.model |
| Class for the mathematical description of integral of a stochastic process | initialize,variable.Integral-method variable.Integral variable.Integral-class |
| Scale-by-scale lead-lag estimation | wllag |
| R code for the Yuima Book | ybook |
| Class for stochastic differential equations | cbind,yuima,ANY-method cce,yuima-method dim,yuima-method get.zoo.data,yuima-method initialize,yuima-method length,yuima-method limiting.gamma,yuima-method llag,yuima-method LSE,yuima-method ml.ql,yuima-method plot,yuima,ANY-method poisson.random.sampling,yuima-method ql,yuima-method rql,yuima-method simulate,yuima-method subsampling,yuima-method yuima-class |
| Class for the asymptotic expansion of diffusion processes | initialize,yuima.ae-method plot,yuima.ae,ANY-method yuima.ae-class |
| Class for the mathematical description of CARMA(p,q) model | initialize,carma.info-method initialize,yuima.carma-method limiting.gamma,yuima.carma-method simulate,yuima.carma-method yuima.carma-class |
| Class for Quasi Maximum Likelihood Estimation of CARMA(p,q) model | carma.qmle plot,yuima.carma.qmle,ANY-method qmle.carma yuima.carma.qmle-class |
| Class for the mathematical description of a Hawkes process with a CARMA(p,q) intensity | initialize,carmaHawkes.info-method initialize,yuima.carmaHawkes-method yuima.carmaHawkes-class |
| Classe for stochastic differential equations characteristic scheme | initialize,yuima.characteristic-method yuima.characteristic-class |
| Class for the mathematical description of CoGarch(p,q) model | initialize,cogarch.info-method initialize,yuima.cogarch-method limiting.gamma,yuima.cogarch-method simulate,yuima.cogarch-method yuima.cogarch-class |
| Class for Quasi Maximum Likelihood Estimation of Compound Poisson-based and SDE models | CP.qmle plot,yuima.CP.qmle,ANY-method qmle.CP yuima.CP.qmle-class yuima.qmle-class |
| Class "yuima.data" for the data slot of a "yuima" class object | cbind.yuima,yuima.data-method cce,yuima.data-method dim,yuima.data-method get.zoo.data,yuima.data-method initialize,yuima.data-method length,yuima.data-method llag,yuima.data-method plot,yuima.data,ANY-method poisson.random.sampling,yuima.data-method subsampling,yuima.data-method yuima.data-class |
| Classes for stochastic differential equations data object | gete,yuima.functional-method getF,yuima.functional-method getf,yuima.functional-method getxinit,yuima.functional-method initialize,yuima.functional-method yuima.functional-class |
| Class for a mathematical description of a Point Process | initialize,yuima.Hawkes-method simulate,yuima.Hawkes-method yuima.Hawkes yuima.Hawkes-class |
| Class for the mathematical description of integral of a stochastic process | initialize,yuima.Integral-method simulate,yuima.Integral-method yuima.Integral yuima.Integral-class |
| 'yuima law-class': A mathematical description for the noise. | cdf,yuima.law-method char,yuima.law-method dens,yuima.law-method initialize,yuima.law-method quant,yuima.law-method rand,yuima.law-method yuima.law yuima.law-class |
| 'yuima.LevyRM': A class for the mathematical description of the t-Student regression model. | estimation_RLM,yuima.LevyRM-function initialize,yuima.LevyRM-method simulate,yuima.LevyRM-method yuima.LevyRM yuima.LevyRM-class |
| Class for the mathematical description of function of a stochastic process | initialize,yuima.Map-method simulate,yuima.Map-method yuima.Map yuima.Map-class |
| Classes for the mathematical description of stochastic differential equations | initialize,model.parameter-method initialize,yuima.model-method limiting.gamma,yuima.model-method simulate,yuima.model-method yuima.model yuima.model-class |
| Class for the mathematical description of Multi dimensional Jump Diffusion processes | initialize,yuima.multimodel-method simulate,yuima.multimodel-method yuima.multimodel yuima.multimodel-class |
| Class for the mathematical description of Compound Poisson processes | initialize,yuima.poisson-method yuima.poisson-class |
| Class for a mathematical description of a Point Process | initialize,yuima.PPR-method simulate,yuima.PPR-method yuima.PPR yuima.PPR-class |
| Class for Quasi Maximum Likelihood Estimation of Levy SDE model | incr.qmleLevy initialize,yuima.qmleLevy.incr-method qmleLevy.incr yuima.qmleLevy.incr,ANY-method yuima.qmleLevy.incr-class |
| Classes for stochastic differential equations sampling scheme | initialize,yuima.sampling-method yuima.sampling-class |
| Class "yuima.snr" for self-normalized residuals of SDE "yuima" class object | show,yuima.snr-method yuima.snr-class |
| 'yuima.th-class': A mathematical description for the t-Levy process. | cdf,yuima.th-method char,yuima.th-method dens,yuima.th-method initialize,yuima.th-method quant,yuima.th-method rand,yuima.th-method t-Levy process yuima.th yuima.th-class |
