Bayesian Inference for Multivariate Stochastic Differential Equations

Implements an MCMC sampler for the posterior distribution of arbitrary time-homogeneous multivariate stochastic differential equation (SDE) models with possibly latent components. The package provides a simple entry point to integrate user-defined models directly with the sampler's C++ code, and parallelizes large portions of the calculations when compiled with 'OpenMP'.


Reference manual

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1.0.4 by Martin Lysy, a year ago

Browse source code at

Authors: Martin Lysy [aut, cre] , Feiyu Zhu [aut] , JunYong Tong [aut] , Nigel Delaney [ctb]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, methods, stats, tools

Suggests knitr, rmarkdown, testthat, RcppArmadillo, RcppProgress

Linking to Rcpp, RcppArmadillo, RcppProgress

See at CRAN