smd: Sparse Multivariate Diffusions
Version 0.2

Estimation of high dimensional, discretely observed diffusions assuming a sparse representation of the drift term.

Package details

AuthorNina Munkholt, Niels Richard Hansen
MaintainerNina Munkholt <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("smd", repos="")

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smd documentation built on May 31, 2017, 4:21 a.m.