We released a new version of our software. Try it now! Download and quickly install it clicking here. Sofwtare features:… Read more yuima 1.6.4 released
Yahoo Finance has changed their API. If you are unable to load stock data from Yahoo using yuimaGUI, please update… Read more yuimaGUI: unable to load stock data from Yahoo
Here we show how to use the argument fixed in the R function qmle for the estimation of a CARMA(p,q)… Read more Examples: qmle CARMA – fixed parameters
We released a new version of our software. Try it now! Download and quickly install it clicking here. Sofwtare features:… Read more yuimaGUI 1.1.0 released
We presented the YUIMA Project and our software at the R/Finance Conference held in Chicago, USA: the primary meeting for academics and practioners… Read more YUIMA at R/Finance 2017
Here you can find an example showing how to set, simulate and estimate a Browniam Motion CARMA with the yuima… Read more Example: Brownian Motion – CARMA
The YUIMA Project has been presented at the 8th MilanoR Meeting held in Milano, Italy. After a brief introduction to… Read more YUIMA at 8th MilanoR Meeting
Yes, you can export trajectories. Simulate the process -> click on the orange button “Show Simulation” -> Click on the… Read more Is there any way to export the simulated processes?
This can happen. For CARMA and COGARCH the best method to use is SANN (default) because of theoretical issues about… Read more I’m getting significanly different results when I’m choosing different methods for estimation (SANN, BFGS etc.)
“delta” is the distance between observations and it controls the unit of measure of the estimates. If your series has… Read more In setData, how do we specify delta on the fly?I read somewhere that “delta is very important in estimation set always to 1/252 for daily data”. Is it really the case?