Inference and Analysis for Generalized Quadratic Diffusions

What is DiffusionRgqd?

DiffusionRgqd is collection of tools for performing inference and analysis on scalar and bivariate time-inhomogeneous diffusion processes with quadratic drift and diffusion terms in R.

Why use DiffusionRgqd?

DiffusionRgqd provides a simple interface that requires minimal mathematical input in order to perform analysis on non-linear, time-inhomogeneous diffusion processes. The package also makes use of C++ in order to maximize the computational efficiency of inference routines. As such it is possible to conduct inference on a plethora of models in a desktop environment without incurring excessively long computation times.

Mac users may have to carry out some additional installation procedures in order for DiffusionRjgqd to operate optimally.

Mac users:

To install the latest version of Rcpp, the latest version of R is needed.
To install RcppArmadillo, the Fortran version used by R needs to be updated.
To install rgl, the computer needs to have X11 installed.
Update R to the latest version.
Run the following code:
install.packages("Rcpp", type = "source",dep=T)

Go to Applications/Utilities and see if X11 is there. If not, you’ll need to install X11 or XQuartz. These are available from http://xquartz.macosforge.org/landing/

Back in R, run the following code:

install.packages(“rgl",dep=T)

Download the DiffusionRjgqd package and run the code:

install.packages("~/DiffusionRgqd_0.1.3.tar.gz", repos = NULL, type = "source”)

Run the following code in R to see if the package works: