msde: Bayesian Inference for Multivariate Stochastic Differential Equations

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

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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:

install.packages("msde")

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

# devtools::install_github("mlysy/msde")
install.packages("msde", repos = c('https://mlysy.r-universe.dev', 'https://cloud.r-project.org'))

Usage

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