msde: Bayesian Inference for Multivariate Stochastic Differential Equations

Martin Lysy, Feiyu Zhu, JunYong Tong, Trevor Kitt, Nigel Delaney

Description

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.

Installation

To install the latest R release:

To install the latest development version, first install the R package devtools and run

devtools::install_github("mlysy/msde")

Usage

Please see tutorial vignette("msde-quicktut") and several provided SDE models vignette("msde-exmodels").