Tools for performing inference and analysis on a class of quadratic jump diffusion processes.

Inference and Analysis for Generalized Quadratic Jump Diffusions

**DiffusionRjgqd** is collection of tools for performing inference and analysis on scalar and bivariate time-inhomogeneous jump diffusion processes with quadratic drift and diffusion terms in R.

**DiffusionRjgqd** provides a simple interface that requires minimal mathematical input in order to perform analysis on non-linear, time-inhomogeneous diffusion processes. The package also makes use of C++ in order to maximize the computational efficiency of inference routines. As such it is possible to conduct inference on a plethora of models in a desktop environment without incurring excessively long computation times.

Check out DiffusionRjgqd for the package source files, vignettes and other downloadable content or visit the DiffusionRjgqd CRAN page.

Mac users may have to carry out some additional installation procedures in order for **DiffusionRjgqd** to operate optimally.

To install the latest version of **Rcpp**, the latest version of R is needed.
To install **RcppArmadillo**, the **Fortran** version used by R needs to be updated.
To install **rgl**, the computer needs to have X11 installed.
Update R to the latest version.
Run the following code:

```
install.packages("Rcpp", type = "source", dep = TRUE)
```

curl -O http://r.research.att.com/libs/gfortran-4.8.2-darwin13.tar.bz2 sudo tar fvxz gfortran-4.8.2-darwin13.tar.bz2 -C /

```
install.packages("RcppArmadillo", dep = TRUE)
```

Go to Applications/Utilities and see if X11 is there. If not, you’ll need to install X11 or XQuartz. These are available from http://xquartz.macosforge.org/landing/

```
install.packages(“rgl", dep = TRUE)
```

```
install.packages("~/DiffusionRgqd_0.1.1.tar.gz", repos = NULL, type = "source”)
```

```
library(DiffpackRjgqd)
example(JGQD.density)
example(JGQD.mcmc)
```

**DiffusionRjgqd** is available on CRAN and GitHub.

Check out DiffusionRjgqd for the package source files, vignettes and other downloadable content or visit the DiffusionRjgqd CRAN page.

Initial version of **DiffusionRjgqd** uploaded to CRAN and GitHub.

Minor update of **DiffusionRjgqd**.

- Improvements and fixes for minor issues in some functions.
- Improvements and typos fixed in Vignettes.
- Added decoding feature for jump detection.
- Improved error handling.
- Fixed bottleneck which caused slower run times for time-inhomogeneous models under MCMC.
- Updated Methodology Paper and Replication materials.
- Updated references.
- Modified some datasets.