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.
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.
Initial version of DiffusionRjgqd uploaded to CRAN and GitHub.
Minor update of DiffusionRjgqd.