Simulation and Inference for Stochastic Differential Equations

Description: Provides functions for simulation and inference for stochastic differential equations (SDEs). It accompanies the book "Simulation and Inference for Stochastic Differential Equations: With R Examples" (Iacus, 2008, Springer; ISBN: 978-0-387-75838-1).


Reference manual

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install.packages("sde")

2.0.21 by Stefano Maria Iacus, 10 months ago


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


Authors: Stefano Maria Iacus [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Depends on MASS, stats4, fda, zoo


Imported by DrBats, FTSgof, nsROC, wwntests, yuimaGUI.

Depended on by ftsa, mixedsde.

Suggested by bssm, rtForecastEval.


See at CRAN