Abstract
The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general Lévy 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 Lévy 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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The authors would like to thank Editor and two anonymous Referees, for their helpful comments. All remaining errors are responsibility of the authors.
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Iacus, S.M., Mercuri, L. Implementation of Lévy CARMA model in Yuima package. Comput Stat 30, 1111–1141 (2015). https://doi.org/10.1007/s00180-015-0569-7
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DOI: https://doi.org/10.1007/s00180-015-0569-7