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'.

Package overview Example SDE models provided by **`msde`** Inference for Multivariate Stochastic Differential Equations with **msde**

Vignettes Man pages API and functions Files

Package details
Author	Martin Lysy [aut, cre], Feiyu Zhu [aut], JunYong Tong [aut], Trevor Kitt [ctb], Nigel Delaney [ctb]
Maintainer	Martin Lysy <mlysy@uwaterloo.ca>
License	GPL-3
Version	1.0.5
Package repository	View on CRAN
Installation	Install the latest version of this package by entering the following in R: `install.packages("msde")`