[Yuima-commits] r236 - pkg/yuimadocs/inst/doc/JSS

Sun Mar 10 07:09:37 CET 2013

Author: iacus
Date: 2013-03-10 07:09:37 +0100 (Sun, 10 Mar 2013)
New Revision: 236

Modified:
   pkg/yuimadocs/inst/doc/JSS/article-new.Rnw
   pkg/yuimadocs/inst/doc/JSS/bibliography.bib
Log:
update

Modified: pkg/yuimadocs/inst/doc/JSS/article-new.Rnw
===================================================================

--- pkg/yuimadocs/inst/doc/JSS/article-new.Rnw	2013-03-09 22:29:29 UTC (rev 235)
+++ pkg/yuimadocs/inst/doc/JSS/article-new.Rnw	2013-03-10 06:09:37 UTC (rev 236)
@@ -1660,14 +1660,24 @@
 Notice that this model is not an ergodic one, indicating that the LASSO method shows that the real data are indeed not stationary, but still in the family of CKLS models.
 
 \section{Miscellanea and Roadmap of YUIMA Project}\label{sec6}
-Other statistical techniques are already implemented in the developer version of the \pkg{yuima} package. Among these: the QMLE approach for stochastic differential equations with L\'evy component, the estimation for the fractional Ornstein-Uhlembeck model \citep{brouiac12}, 
+Other statistical techniques have been are already implemented in the developer version of the \pkg{yuima} package although not yet released into the current distribution. Among these we mention: the QMLE approach for stochastic differential equations with L\'evy noise \citep{shiyos06, ogiyos11}; the parametric estimation for the fractional Ornstein-Uhlembeck model \citep{brouiac12}; different simulation schemes as in \citep{Iacus08} for multidimensional diffusion processes; Lead-lag estimation \citep{HoffRosYo09}.
+ For example, a nice (yet incomplete) utility is the method \code{toLatex} for objects of class \code{yuima} and \code{yuima.model}. A simple writing like
+\code{toLatex(my-yuima-obj)} produces the related \LaTeX{} code which can be copy and pasted in a mathematical paper. For example,
+<<>>=
+a <- c("-3*x1","-x1-2*x2")
+b <- matrix(c("1","x1","0","3","x2","0"),2,3)
+modtex <- setModel(drift = a, diffusion = b, solve.variable = c("x1","x2"))
+toLatex(modtex)
+@
+which can be typesetted with  \LaTeX{} to produce
+<<echo=FALSE,results=tex>>=
+toLatex(modtex)
+@
+which can be used as a quick starting point for more complex editing of a mathematical paper.
+Another major plan is to open the  contribution to the YUIMA project to external developers in the near future as well as to include other estimation procedures for low frequency and/or sparse data and parallelization of the general infrastructure.
 
-or will be shortly released in the \pkg{yuima}. For example, a nice utility is the function \code{toLatex} for objects of class \code{yuima} and \code{yuima.model}. A simple writing like
-\code{toLatex(my-yuima-obj)} produces the related \LaTeX{} code which can be copy and pasted in a mathematical paper.
-We also plan to open the the contribution to the YUIMA project to external developers in the near future.
 
 
-
 \section*{Acknowledgements}
 This work was in part supported by Japan Society for the Promotion of Science Grants-in-Aid for Scientific Research No. 24340015 (Scientific Research), No. 24650148 (Challenging Exploratory Research);
 the Global COE program ``The Research and Training Center for New Development in Mathematics'' of the Graduate School of Mathematical Sciences, University of Tokyo;  by a Cooperative Research Program of the Institute of Statistical Mathematics and by the project PRIN 2009JW2STY, Ministero dell'Istruzione dell'Universit\`a e della Ricerca.

Modified: pkg/yuimadocs/inst/doc/JSS/bibliography.bib
===================================================================
--- pkg/yuimadocs/inst/doc/JSS/bibliography.bib	2013-03-09 22:29:29 UTC (rev 235)
+++ pkg/yuimadocs/inst/doc/JSS/bibliography.bib	2013-03-10 06:09:37 UTC (rev 236)
@@ -14,15 +14,24 @@
 issn={0943-4062},
 journal={Computational Statistics},
 doi={10.1007/s00180-012-0365-6},
-title={Parameter estimation for the discretely observed fractional Ornstein‚ÄìUhlenbeck process and the Yuima R package},
+title={Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package},
 url={http://dx.doi.org/10.1007/s00180-012-0365-6},
 publisher={Springer-Verlag},
-author={Brouste, Alexandre and Iacus, StefanoM.},
+author={Brouste, Alexandre and Iacus, Stefano M.},
 pages={1-19},
 language={English}
 }
 
 
+
+ at article{HoffRosYo09,
+  title =	 {Estimation of the lead-lag parameter from non-synchronous data},
+  author =	 {Hoffmann, M. and Rosenbaum, M. and Yoshida, N.},
+  journal =	 {Bernoulli},
+  year =	 {forthcoming},
+   url={http://www.e-publications.org/ims/submission/index.php/BEJ/user/submissionFile/6696?confirm=80337980}
+}
+
 @article{Kunitomo01,
   title =	 {The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims},
   author =	 {Kunitomo, N. and Takahashi, A.},
@@ -170,10 +179,42 @@
   mrreviewer = {},
 }
 
+ at book{Iacus08,
+  author = {Iacus, Stefano M.},
+  title = {Simulation and Inference for Stochastic Differential
+                  Equations: With {R} Examples},
+  publisher = {Springer},
+  year = 2008,
+  address = {New York},
+  isbn = {978-0-387-75838-1},
+  publisherurl = {http://www.springer.com/978-0-387-75838-1}
+}
 
+
+ at article{shiyos06,
+  title =	 {Estimation of parameters for diffusion processes with jumps from discrete observations},
+  author =	 {Shimizu, Y. and Yoshida, N.},
+  journal =	 {Statistical Inference for Stochastic Processes},
+  year =	 {2006},
+  number={9},
+  pages={227--277}
+}
+
+
+
+ at article{ogiyos11,
+  title =	 {Quasi-likelihood analysis for the stochastic differential equation with jumps},
+  author =	 {Ogihara, T. and  Yoshida, N. },
+  journal =	 {Statistical Inference for Stochastic Processes},
+  year =	 {2011},
+  number={14},
+  pages={189--229}
+}
+
+
 @article{iacyos09,
   title =	 {Estimation for the Change Point of the Volatility in a Stochastic Differential Equation},
-  author =	 {Iacus, S.M. and Yoshida, N.},
+  author =	 {Iacus, S. M. and Yoshida, N.},
   journal =	 {Stochastic Processes and Their Applications},
   year =	 {2012},
   number={122},

