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'.


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install.packages("msde")

1.0.4 by Martin Lysy, a month ago


Browse source code at https://github.com/cran/msde


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