Simulation and Inference for Stochastic Processes with YUIMA

A Comprehensive R Framework for SDEs and Other Stochastic Processes

af Stefano M. Iacus

The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Levy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes.