Bayesian estimation and prediction for stochastic processes based on the Euler approximation. Considered processes are: jump diffusion, (mixed) diffusion models, hidden (mixed) diffusion models, non-homogeneous Poisson processes (NHPP), (mixed) regression models for comparison and a regression model including a NHPP.
Package details |
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Author | Simone Hermann |
Maintainer | Simone Hermann <hermann@statistik.tu-dortmund.de> |
License | GPL (>= 2) |
Version | 0.1 |
Package repository | View on GitHub |
Installation |
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