The Project has been funded by CREST
yuimaGUI: a Graphical User Interface for
the yuima package
• Cutting-edge analysis in a few simple clicks
Emanuele Guidotti on behalf of the YUIMA Project Team
Y
oshida
U
chida
I
acus
M
asuda
A
nd others
Experts working in
mathematical statistics and finance,
who actively publish results in the field and
aim at bridging the gap
between theory and practice
by implementing a complete environment
for the inference and simulation
of Stochastic Differential Equations
What is a yuima object?
What can you do with
a yuima object?
R example…
yuima <- setYuima(
data = setData(FB$FB.Close, delta = 1/252),
model = setModel(drift="mu*x", diffusion="sigma*x"))
R example…
yuima <- setYuima(
data = setData(FB$FB.Close, delta = 1/252),
model = setModel(drift="mu*x", diffusion="sigma*x"))
qmle(yuima, start = list(mu = 0, sigma = 0.1))
Quasi-Maximum likelihood estimation
qmle(yuima = yuima, start = list(mu = 0, sigma = 0.1))
Coefficients:
Estimate
sigma
0.3895313
mu
0.3500000
-2 log L: 4670.919
Std. Error
0.007811695
0.175039184
R example…
yuima <- setYuima(
data = setData(FB$FB.Close, delta = 1/252),
model = setModel(drift="mu*x", diffusion="sigma*x"))
qmle(yuima, start = list(mu = 0, sigma = 0.1))
simulate(yuima@model,
true.parameter = list(mu = 0.35, sigma = 0.3895313),
sampling = setSampling(delta = 1/252, n = 252),
xinit = last(FB$FB.Close))
yuima breakthrough
do things much more easily than before
do things much faster than before
do things you couldn’t do before
yuimaGUI
not just an interface
Running yuima function from a Graphical User
Interface
Improving User experience and getting straight to the
point
yuimaGUI
still lacks some features
but …
Thank you for your
help (and amazing
package)!
PhD student modelling electricity prices,
mostly renewable energy
Deep scientific
knowledge
yuima R
package
yuimaGUI
User-friendly
level
Research
level
Programming
level
yuimaGUI
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DATA
INFORMATION
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yuima
expert user
INSIGHT
Yuima Koji
(Vimalakirti Nirdesa)
Yuima’s teaching is
about seeing through
the trappings of
theoretical issues to
the spiritual heart of
the wonder of reality