msde (1.0.3)

Bayesian Inference for Multivariate Stochastic Differential Equations.

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'.

Maintainer: Martin Lysy
Author(s): Martin Lysy [aut, cre], JunYong Tong [aut], Nigel Delaney [ctb]

License: GPL-3

Uses: Rcpp, testthat, knitr, RcppProgress, rmarkdown

Released almost 2 years ago.