Title: The Yuima framework for simulation and inference of stochastic processes and its GUI
Authors: Stefano Iacus - University of Milan (Italy)
Emanuele Guidotti - University of Milan (Italy) [presenting]
Abstract: The purpose is to present the Yuima package, a system of S4 classes and methods for the simulation and inference of stochastic processes including stochastic differential equation with or without jumps, fractional Brownian motion, Poisson and general point processes, CARMA and COGARCH processes. Yuima is a collaborative project and includes several simulation schemes as well statistical tools for quasi-maximum likelihood estimation, model selection, hypotheses testing, change point analysis. It also include methods of asymptotic expansion. Recently, the Yuima package has been coupled with a graphical user interface, namely the YuimaGUI, which simplifies the usage of the package and allows for a complete flow of analysis: from data ingestion, to model selection and or estimation, and estimation.