Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
COGARCH(p, q): Simulation and Inference with the yuima Package | Iacus | Journal of Statistical Software
Authors: Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
Title: COGARCH(p, q): Simulation and Inference with the yuima Package
Abstract: 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 introduced. In particular, for the generation of a COGARCH(p, q) trajectory, the user can choose between two alternative schemes. The first is based on the Euler discretization of the stochastic differential equations that identify a COGARCH(p, q) model while the second considers the explicit solution of the equations defining the variance process. Estimation is based on the matching of the empirical with the theoretical autocorrelation function. Three different approaches are implemented: minimization of the mean squared error, minimization of the absolute mean error and the generalized method of moments where the weighting matrix is continuously updated. Numerical examples are given in order to explain methods and classes used in the yuima package.

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Paper: COGARCH(p, q): Simulation and Inference with the yuima Package     Download PDF (Downloads: 646)
yuima_1.6.8.tar.gz: R source package Download (Downloads: 51; 647KB)
v80i04.R: R replication code Download (Downloads: 78; 14KB)

DOI: 10.18637/jss.v080.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.