Journal of Statistical Software 2014

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

Authors: Alexandre Brouste, Masaaki Fukasawa, HideitallHino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida

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SSRN 2016

 Measuring risk with cogarch(p,q) models

Authors: Bianchi F., Mercuri L., and Rroji E. 

arXiv 2015

 Estimation and simulation of a cogarch (p, q) model in the yuima project

Authors: Iacus S. and Mercuri L. 

arXiv 2015

 Discrete time approximation of a cogarch(p,q) model and its estimation

Authors: Iacus S., Mercuri L. and Rroji E.

arXiv  2014

Implementation of Lévy CARMA model in Yuima package

Authors: Iacus S. and Mercuri L.

 Computational Statistics 2013

Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

Authors: Brouste A. and Iacus S.

 Bernoulli  2013

 Estimation of the lead-lag parameter from non-synchronous data

Authors: Hoffmann M., Rosenbaum M. and Yoshida N.

 Journal of Multivariate Analysis  2013

On a family of test statistics for discretely observed diffusion processes

Authors: De Gregorio A. and Iacus S. 

Econometric Theory 2012

 Adaptive lasso-type estimation for ergodic diffusion processes

Authors: De Gregorio A. and Iacus S. 

Stochastic Processes and their Applications  2012

 Adaptive estimation of an ergodic diffusion process based on sampled data

Authors: Uchida M. and Yoshida N.

Statistics & Probability Letters  2012

 Approximation of the variance gamma model with a finite mixture of normals

Authors: Loregian A., Mercuri L. and Rroji E.

 arXiv 2012

 Quasi-likelihood analysis for stochastic regression models with nonsynchronous observations

Authors: Ogihara T. and Yoshida N. 

arXiv 2012

 Nondegeneracy of random field and estimation of diffusion

Authors: Uchida M. and Yoshida N.

Stochastic Processes and Their Applications  2012

Estimation for the change point of the volatility in a stochastic differential equation

Authors: Iacus S. and Yoshida N.

 The Annals of Applied Probabability  2011

 Discretization error of stochastic integrals

Authors: Fukasawa M. 

 Journal of Computational and Applied Mathematics 2011

On simulation of tempered stable random variates

Authors: Kawai R. and Masuda H.

 Annals of the Institute of Statistical Mathematics  2011

 Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

Authors: Yoshida N.

 Stochastic Processes and their Applications  2011

Nonsynchronous covariance estimator and limit theorem

Authors: Hayashi T. and Yoshida N.

 Annals of the Institute of Statistical Mathematics  2010

 Contrast-based information criterion for ergodic diffusion processes from discrete observations

Authors: Uchida M.

Annals of the Institute of Statistical Mathematics  2008

 Asymptotic normality of a covariance estimator for non synchronously observed diffusion processes

Authors: Hayashi T. and Yoshida N.

Research Association of Statistical Sciences 2008

Some remarks on estimation of diffusion coefficients for jump-diffusions from finite samples 

Authors: Shimizu Y.

 Statistical Inference for Stochastic Processes 2006

 Estimation of parameters for diffusion processes with jumps from discrete observations

Authors: Shimizu Y. and Yoshida N.

 Bernoulli  2005

On covariance estimation of non-synchronously observed diffusion processes

Authors: Hayashi T. and Yoshida N.