GaDiFPT: First Passage Time Simulation for Gaussian Diffusion Processes

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.

Author
A. Buonocore, M.F. Carfora
Date of publication
2015-02-17 19:43:09
Maintainer
Maria Francesca Carfora <f.carfora@iac.cnr.it>
License
GPL-2
Version
1.0

View on CRAN

Man pages

builtfunc
Functions characterizing the Gaussian Diffusion process X(t)...
diffusion
Diffusion processes
examples
Example scripts and user provided functions for the Gaussian...
FPTdensity_byint
Evaluation of the FPT density and distribution functions
FPTsimul
Simulation of FPT by the Hazard Rate Method
GaDiFPT-package
First Passage Time Simulation for Gauss Diffusion Processes
inputlist
User provided parameters
plot.FPTdensity
Plotting Method for FPTdensity objects
res_summary
User provided parameters
vectorsetup
Setup of the mean and covariance vectors for the Gaussian...

Files in this package

GaDiFPT
GaDiFPT/NAMESPACE
GaDiFPT/demo
GaDiFPT/demo/Logistic.R
GaDiFPT/demo/OrnUhlCurrent.R
GaDiFPT/demo/WienerDrift.R
GaDiFPT/demo/Wiener1.R
GaDiFPT/demo/Wiener.R
GaDiFPT/demo/00Index
GaDiFPT/demo/OrnUhl.R
GaDiFPT/R
GaDiFPT/R/vectorsetup.R
GaDiFPT/R/res_summary.R
GaDiFPT/R/builtfunc.R
GaDiFPT/R/print.diffusion.R
GaDiFPT/R/is.diffusion.R
GaDiFPT/R/plot.FPTdensity.R
GaDiFPT/R/FPTsimul.R
GaDiFPT/R/histplot.R
GaDiFPT/R/print.inputlist.R
GaDiFPT/R/FPTdensity_byint.R
GaDiFPT/R/diffusion.R
GaDiFPT/R/inputlist.R
GaDiFPT/MD5
GaDiFPT/DESCRIPTION
GaDiFPT/man
GaDiFPT/man/inputlist.Rd
GaDiFPT/man/builtfunc.Rd
GaDiFPT/man/FPTdensity_byint.Rd
GaDiFPT/man/FPTsimul.Rd
GaDiFPT/man/vectorsetup.Rd
GaDiFPT/man/res_summary.Rd
GaDiFPT/man/diffusion.Rd
GaDiFPT/man/plot.FPTdensity.Rd
GaDiFPT/man/examples.Rd
GaDiFPT/man/GaDiFPT-package.Rd