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 details

AuthorMartin Lysy [aut, cre], Feiyu Zhu [aut], JunYong Tong [aut], Nigel Delaney [ctb]
MaintainerMartin Lysy <>
Package repositoryView on CRAN
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msde documentation built on May 2, 2019, 2:05 a.m.