Seminar on Probability and Statistics 2018, Tokyo

I presented the Latest Development in yuimaGUI – Interactive Platform for Computational Statistics and Finance at the Graduate School of Mathematical Sciences, University of Tokyo.

Seminars on Probability and Statistics are held during the summer and winter terms. The topics are Mathematical Statistics and related fields. All seminars, unless otherwise noted, are held at Room 052, Graduate School of Mathematical Sciences, the University of Tokyo. Seminar on Probability and Statistics is supported in part by CREST, JST.

Latest Development in yuimaGUI – Interactive Platform for Computational Statistics and Finance

Abstract. The yuimaGUI package provides a user-friendly interface for the yuima package, including additional tools related to Quantitative Finance. It greatly simplifies tasks such as estimation and simulation of stochastic processes, data retrieval, time series clustering, change point and lead-lag analysis. Today we are going to discuss the latest development in yuimaGUI, extending the Platform with multivariate modeling and simulation, Levy processes, Point processes, broader model selection tools and more general distributions thanks to the new yuima-Law object.

Speaker. Emanuele Guidotti

Authors. Emanuele Guidotti, Stefano Iacus, Lorenzo Mercuri

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