Implementation of L\'evy CARMA model in Yuima package
Stefano M. Iacus, Lorenzo Mercuri
TL;DR
This paper demonstrates how to implement and estimate a general Le9vy CARMA model using the R package yuima, highlighting its flexibility in choosing different Le9vy distributions for simulation and inference.
Contribution
It introduces the implementation of Le9vy CARMA models in the yuima package, allowing flexible distribution choices for increments and providing practical examples.
Findings
Flexible simulation and estimation of Le9vy CARMA models in R
Implementation of multiple parametric Le9vy distributions
Numerical examples illustrating package capabilities
Abstract
The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general L\'evy Continuous Autoregressive Moving Average (CARMA) model. The flexibility of the package is due to the fact that the user is allowed to choose several parametric L\'evy distribution for the increments. Some numerical examples are given in order to explain the main classes and the corresponding methods implemented in yuima package for the CARMA model.
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Taxonomy
TopicsFinancial Risk and Volatility Modeling · Statistical Methods and Inference · Statistical Methods and Bayesian Inference