msde

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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Description file content

Package
msde
Title
Bayesian Inference for Multivariate Stochastic Differential Equations
Version
1.0.3
Date
2017-12-16
Description
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'.
Depends
R (>= 3.0.0)
Imports
Rcpp (>= 0.12.7), methods, stats, tools
LinkingTo
Rcpp, RcppProgress
Suggests
knitr, rmarkdown, testthat, RcppProgress
VignetteBuilder
knitr
License
GPL-3
LazyData
true
RoxygenNote
6.0.1
NeedsCompilation
yes
Packaged
2017-12-18 14:06:00 UTC; mlysy
Author
Martin Lysy [aut, cre], JunYong Tong [aut], Nigel Delaney [ctb]
Maintainer
Martin Lysy
Repository
CRAN
Date/Publication
2017-12-19 20:23:29 UTC

install.packages('msde')

1.0.3

6 months ago

Martin Lysy

GPL-3

Depends on

R (>= 3.0.0)

Imports

Rcpp (>= 0.12.7), methods, stats, tools

Suggests

knitr, rmarkdown, testthat, RcppProgress

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