DiffusionRgqd-package: A package for Performing Inference and Analysis on...

In eta21/DiffusionRgqd: Inference and Analysis for Generalized Quadratic Diffusions

Description

DiffusionRgqd is a toolbox for performing analysis and inference on a class of diffusion processes with quadratic drift and diffusion. The package consists of functions for performing likelihood based inference and transitional density approximations for both 1D and 2D GQDs. For scalar diffusions, a module is provided for solving first passage time problems for both time homogeneous and time inhomogeneous GQDs.

Details

Package:	DiffusionRgqd
Type:	Package
Version:	0.1.2
Date:	2015-12-01
License:	GPL (>= 2)

The package is designed around an interface whereby the user supplies standard R-functions dictating the functional form of the coefficients of the GQD. For example, for scalar GQDs nested within the stochastic differential equation:

dX_t = (G_0(t)+G_1(t)X_t+G_2(t)X_t^2)dt+√{Q_0(t)+Q_1(t)X_t+Q_2(t)X_t^2}dW_t,

the user supplies G0(t),G1(t) and Q1(t) etc. These coefficients may depend on a both vector of parameters and time. The package handles all the necessary mathematics and algorithmic construction. Furthermore, computational efficiency is optimized by constructing algorithms in C++ using the Rcpp and RcppArmadillo libraries.

Functions included in the package:

BiGQD.density	:	Generate the transitional density of a 2D GQD.
BiGQD.mcmc*	:	Conduct inference via MCMC on a 2D GQD.
BiGQD.mle*	:	Calculate MLEs for a 2D GQD.
GQD.density	:	Generate the transitional density of a 1D GQD.
GQD.mcmc*	:	Conduct inference via MCMC on a 1D GQD.
GQD.mle*	:	Calculate MLEs for a 1D GQD.
GQD.passage*	:	Approximate the first passage time density of a time homogeneous GQD to a barrier.
GQD.TIpassage*	:	Approximate the first passage time density of a time-inhomogeneous GQD to a barrier.

* Functions use C++.

Author(s)

Etienne A.D. Pienaar: [e-mail]

Maintainer: Etienne A.D. Pienaar ([e-mail])

References

Updates available on GitHub at https://github.com/eta21.

See Also

BiGQD.mcmc, BiGQD.mle, GQD.mcmc, GQD.dic, GQD.mle,GQD.remove, GQD.passage, GQD.TIpassage and GQD.density.

Examples

## Not run: 
example(GQD.density)
example(BiGQD.density)

## End(Not run)

eta21/DiffusionRgqd documentation built on May 16, 2019, 8:53 a.m.