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 abstract type, multidimensional, driven by Wiener process or fractional Brownian motion with general Hurst parameter, with or without jumps specified as Lévy noise. The yuima package is intended to offer the basic infrastructure on which complex models and inference procedures can be built on. This paper explains the design of the yuima package and provides some examples of applications.

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Alexandre Brouste

Full professor at the Institute of Risk and Insurance, Le Mans University. Research interests include inference for stochastic processes, long-memory processes, wind energy, actuarial science and structural health monitoring.

Masaaki Fukasawa

Hideitsu Hino

Stefano Iacus

Full professor of statistics the Department of Economics, Management and Quantitative Methods at the University of Milan. Member of the R Core Team (1999-2014) for the development of the R statistical environment and now member of the R Foundation. Research interests include inference for stochastic processes, simulation, computational statistics, causal inference, text mining, and sentiment analysis.

Kengo Kamatani

Yuta Koike

Hiroki Masuda

Full professor at Graduate School of Mathematics, Kyushu University. Research interests include inference for Lévy driven stochastic processes, stochastic approximation methods, ecology, forecasting energy-demand, and signal processing in life sciences.

Ryosuke Nomura

Yasutaka Shimizu

Masayuki Uchida

Nakahiro Yoshida

Full professor at the Graduate School of Mathematical Sciences, University of Tokyo. Working in theoretical statistics, probability theory, computational statistics, and financial data analysis. Awarded the Japan Statistical Society Award in 2009 and the Analysis Prize from the Mathematical Society of Japan in 2006.