Estimation in Reducible Stochastic Differential Equations

Maximum likelihood estimation for univariate reducible stochastic differential equation models. Discrete, possibly noisy observations, not necessarily evenly spaced in time. Can fit multiple individuals/units with global and local parameters, by fixed-effects or mixed-effects methods. Ref.: Garcia, O. (2019) "Estimating reducible stochastic differential equations by conversion to a least-squares problem", Computational Statistics 34(1): 23-46, .


Reference manual

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install.packages("resde")

1.1 by Oscar Garcia, 3 years ago


https://github.com/ogarciav/resde/


Report a bug at https://github.com/ogarciav/resde/issues


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


Authors: Oscar Garcia [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats, Deriv, nlme, methods

Suggests knitr


See at CRAN