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DiffusionRgqd (version 0.1.1)

Inference and Analysis for Generalized Quadratic Diffusions

Description

Tools for performing inference and analysis on a class of quadratic diffusion processes for both scalar and bivariate diffusion systems. For scalar diffusions, a module is provided for solving first passage time problems for both time-homogeneous and time-inhomogeneous GQDs.

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Install

install.packages('DiffusionRgqd')

Monthly Downloads

9

Version

0.1.1

License

GPL (>= 2)

Maintainer

Etienne AD Pienaar

Last Published

October 13th, 2015

Functions in DiffusionRgqd (0.1.1)

DiffusionRgqd-package

A package for Performing Inference and Analysis on Generalized Quadratic Diffusion Processes (GQDs).

A Simulated Non-Linear Bivariate Diffusion With Time-Inhomogeneous Coefficients

Generate the Transition Density of a Scalar Generalized Quadratic Diffusion (GQD).

Compute the First Passage Time Density of a GQD With Time Inhomogeneous Coefficients.

MCMC Inference on Bivariate Generalized Quadratic Diffusions (2D GQDs).

Quick Plots for DiffusionRgqd Objects

A Simulated Non-Linear Bivariate Diffusion

MCMC Inference on Generalized Quadratic Diffusion Models (GQDs).

Remove the Coefficients of a GQD Model.

MLEs for Generalized Quadratic Diffusion Models (GQDs).

Summarize MLE Selection Output for a List of GQD.mle or BiGQD.mle objects.

Summarize MCMC Selection Output for a List of GQD.mcmc or BiGQD.mcmc objects.

Calculate the First Passage Time Density of a Time-Homogeneous GQD Process to a Fixed Barrier.

A Simulated Diffusion with Sinusoidal Drift and State-Dependant Diffusion Coefficient.

Generate the Transition Density of a Bivariate Generalized Quadratic Diffusion Model (2D GQD).

Extract Parmaeter Estimates from .mle() or .mcmc() Objects.

RcppArmadillo-Functions

A Junk Funktion For Build Purposes

Calculate Maximum Likelihood Estimates for a 2D GQD Model.

Simulated Stochastic Lotka-Volterra Eqns