6 citations · 14 across the 16 of their papers we have counts for
4 papers · 1 filter
Student t-Lévy regression model in YUIMA
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
The aim of this paper is to discuss an estimation and a simulation method in the \textsf{R} package YUIMA for a linear regression model driven by a Student- Lévy process with co…
Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We…
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper we show how to simulate and estimate a COGARCH(p,q) model in the R package yuima. Several routines for simulation and estimation are available. Indeed for the generat…
Implementation of Lévy CARMA model in Yuima package
Stefano M. Iacus, Lorenzo Mercuri
The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general Lévy Continuous Autoregressive Moving Average (CARMA) model. The…