Bayesian parameter estimation in two-dimensional diffusion models with affine drift.


This package use data augmentation and a Gibbs sampler to sample from the joint posterior of parameters and augmented data. The main function is 'Estfun' which produce an object of class 'BIPOD'. See the help page for 'Estfun' for an example.


Package: BIPOD
Type: Package
Version: 0.2.1
Date: 2014-03-18
License: GPL-3

BBSim DiffSim Estfun plot.BIPOD ShowModels


Anders Chr. Jensen

Maintainer: Anders Chr. Jensen <>


'Importance sampling techniques for estimation of diffusion models' by Papaspiliopoulos and Roberts, 'Statistical Methods for Stochastic Differential Equations', Monographs on Statistics and Applied Probability, Chapman and Hall, 2012 and 'Markov chain Monte Carlo approach to parameter estimation in the FitzHugh-Nagumo model' by Jensen et al, Phys. Rev. E 2012.

comments powered by Disqus