YSS2019: Computational and Statistical Methods for Stochastic Process

The first YUIMA Summer School on Computational and Statistical Methods for Stochastic Process This 4 days course aims at introducing researchers, PhD students and practitioners to several aspects of numerical and statistical analysis of time series…

Simulation and Inference for Stochastic Processes with YUIMA

Contains both theory and code with step-by-step examples and figures. Uses YUIMA package to implement the latest techniques available in the literature of inference for stochastic processes. Shows how to create the description of very abstract models in…

The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations

Abstract. The YUIMA Project is an open source and collaborative effort aimed at developing the R package yuima for simulation and inference of stochastic differential equations. In the yuima package stochastic differential equations can be of very…

On CARMA estimation in YUIMA

Q: Can YUIMA manage with statistical inference the following model? # yuima.model object model <- setModel(drift = c("-3*x1","x1*x2"), diffusion = matrix(c("1","0"),2,1), state.variable = c("x1","x2"),…

R Code for calculating standard errors(p-values) in COGARCH

To determine p-values and or standard errors for estimates, we combine the estimation method for COGARCH in yuima with the bootstrap methodology. Here you can find an example of the code tha we used in our work "Discrete‐Time Approximation of a…

Lévy CARMA models for shocks in mortality

Abstract. Recent literature on mortality modeling suggests to include in the dynamics of mortality rates the effects of time, age, the interaction of these two and a term for possible shocks. In this paper we investigate models that use Legendre…

How to set real data in a yuima object

Q: I've had trouble setting up CARMA objects with real data. After defining a carma model carma.model, I call setYuima(data=setData(mydata), model=carma.model), and get the error message "Error in if (dim([email protected])[2] == 1){ : is of length…

Seminar: Latest Development in yuimaGUI

Venue. University of Tokyo, Graduate School of Math. Sci. Bldg., Room #052 Date&Time. 23 May 2018, 13:00 - 14:10 Abstract. The yuimaGUI package provides a user-friendly interface for the yuima package, including additional tools related to…

8th MilanoR Meeting

MilanoR is a user group dedicated to bring together local users of the popular open source language R. Our aim is to exchange knowledge, learn and share tricks and techniques and provide R beginners with an opportunity to meet more experienced users. We…

Workshop: Computational Aspects of Simulation and Inference for Stochastic Processes

This two-day workshop is aimed at presenting the latest results on simulation and inference for stochastic processes and their current and prospect implementation within the YUIMA R package. Dates: March 27 (Tue) 9:15-12:15, 14:45-17:45 March 28 (Wed)…

Seminar: “yuimaGUI” a Graphical User Interface for the yuima Package

Venue. University of Tokyo, Graduate School of Math. Sci. Bldg., Room #052 Date&Time. 12 Jan 2017, 13:00 - 15:00 Abstract. The yuimaGUI package provides a user-friendly interface for yuima. It greatly simplifies tasks such as estimation and…

R/Finance 2017, Chicago

From the inaugural conference in 2009, the annual R/Finance conference in Chicago has become the primary meeting for academics and practitioners interested in using R in Finance. Participants from academia and industry mingle for two days to exchange…

CMStatistics 2017, London

The 10th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017) will take place at the Senate House, University of London, UK, 16-18 December 2017. Tutorials will be given on Friday 15th of December…

COMPSTAT 2016, Oviedo

The 22nd International Conference on Computational Statistics took place at the Auditorium/Congress Palace Principe Felipe, Oviedo, Spain, 23-26 August 2016. The conference is sponsored by the European Regional Section of the IASC and is organized by the…

CMStatistics 2016, Seville

The 9th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2016) will take place at the Higher Technical School of Engineering (map), University of Seville, Spain, 9-11 December 2016. Tutorials will be…