GaDiFPT: First Passage Time Simulation for Gaussian Diffusion Processes
Version 1.0

In this package we consider Gaussian Diffusion processes and smooth thresholds. After evaluating the mean of the process to check the subthreshold regimen hypothesis, the FPT density function is reconstructed via the numerical quadrature of the integral equation in (Buonocore 1987); first passage times are also generated by the method in (Buonocore 2014) and results are compared. The timestep of the simulations can iteratively be refined. User should provide the functional form for the drift and the infinitesimal variance in the script 'userfunc.R' and for the threshold in the script 'userthresh.R'. All the parameters required by the implementation are to be set in the script 'userparam.R'. Example scripts for common drifts and thresholds are given.

Package details

AuthorA. Buonocore, M.F. Carfora
Date of publication2015-02-17 19:43:09
MaintainerMaria Francesca Carfora <[email protected]>
LicenseGPL-2
Version1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("GaDiFPT")

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GaDiFPT documentation built on May 30, 2017, 4:27 a.m.