Package: msde 1.0.5
msde: 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'.
Authors:
msde_1.0.5.tar.gz
msde_1.0.5.zip(r-4.5)msde_1.0.5.zip(r-4.4)msde_1.0.5.zip(r-4.3)
msde_1.0.5.tgz(r-4.5-x86_64)msde_1.0.5.tgz(r-4.5-arm64)msde_1.0.5.tgz(r-4.4-x86_64)msde_1.0.5.tgz(r-4.4-arm64)msde_1.0.5.tgz(r-4.3-x86_64)msde_1.0.5.tgz(r-4.3-arm64)
msde_1.0.5.tar.gz(r-4.5-noble)msde_1.0.5.tar.gz(r-4.4-noble)
msde_1.0.5.tgz(r-4.4-emscripten)msde_1.0.5.tgz(r-4.3-emscripten)
msde.pdf |msde.html✨
msde/json (API)
| # Install 'msde' in R: |
| install.packages('msde', repos = c('https://mlysy.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/mlysy/msde/issues
Last updated 3 years agofrom:2774ebd9f2. Checks:12 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Mar 04 2025 |
| R-4.5-win-x86_64 | OK | Mar 04 2025 |
| R-4.5-mac-x86_64 | OK | Mar 04 2025 |
| R-4.5-mac-aarch64 | OK | Mar 04 2025 |
| R-4.5-linux-x86_64 | OK | Mar 04 2025 |
| R-4.4-win-x86_64 | OK | Mar 04 2025 |
| R-4.4-mac-x86_64 | OK | Mar 04 2025 |
| R-4.4-mac-aarch64 | OK | Mar 04 2025 |
| R-4.4-linux-x86_64 | OK | Mar 04 2025 |
| R-4.3-win-x86_64 | OK | Mar 04 2025 |
| R-4.3-mac-x86_64 | OK | Mar 04 2025 |
| R-4.3-mac-aarch64 | OK | Mar 04 2025 |
Exports:mou.loglikmvn.hyper.checksde.diffsde.driftsde.examplessde.initsde.logliksde.make.modelsde.postsde.priorsde.simsde.valid.datasde.valid.params
Dependencies:RcppRcppProgresswhisker
Example SDE models provided by msde
Rendered frommsde-exmodels.Rmdusingknitr::rmarkdownon Mar 04 2025.Last update: 2021-12-17
Started: 2017-07-04
Inference for Multivariate Stochastic Differential Equations with msde
Rendered frommsde-quicktut.Rmdusingknitr::rmarkdownon Mar 04 2025.Last update: 2021-12-17
Started: 2017-06-14
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| msde: Bayesian Inference for Multivariate Stochastic Differential Equations | msde-package msde |
| Loglikelihood for multivariate Ornstein-Uhlenbeck process. | mou.loglik |
| Argument checking for the default multivariate normal prior. | mvn.hyper.check |
| SDE diffusion function. | sde.diff |
| SDE drift function. | sde.drift |
| Example SDE models. | sde.examples |
| MCMC initialization. | sde.init |
| SDE loglikelihood function. | sde.loglik |
| Create an SDE model object. | sde.make.model |
| MCMC sampler for the SDE posterior. | sde.post |
| SDE prior function. | sde.prior |
| Simulation of multivariate SDE trajectories. | sde.sim |
| SDE data and parameter validators. | sde.valid sde.valid.data sde.valid.params |
