DiffusionRjgqd is a toolbox for performing analysis and inference on a class of jump diffusion processes with quadratic drift and diffusion with state-dependent and time inhomogeneous jump mechanisms. The package consists of functions for performing likelihood based inference and transitional density approximations for both 1D and 2D JGQDs.
|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 JGQD after which 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:
||:||Generate the transitional density of a 2D JGQD.|
||:||Conduct inference via MCMC on a 2D JGQD.|
||:||Generate the transitional density of a 1D JGQD.|
||:||Conduct inference via MCMC on a 1D JGQD.|
* Functions use C++.
Etienne A.D. Pienaar: [email protected]
Maintainer: Etienne A.D. Pienaar ([email protected])
Updates available on GitHub at https://github.com/eta21.
1 2 3 4 5
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.