Package: resde 1.1
resde: Estimation in Reducible Stochastic Differential Equations
Maximum likelihood estimation for univariate reducible stochastic differential equation models. Discrete, possibly noisy observations, not necessarily evenly spaced in time. Can fit multiple individuals/units with global and local parameters, by fixed-effects or mixed-effects methods. Ref.: Garcia, O. (2019) "Estimating reducible stochastic differential equations by conversion to a least-squares problem", Computational Statistics 34(1): 23-46, <doi:10.1007/s00180-018-0837-4>.
Authors:
resde_1.1.tar.gz
resde_1.1.zip(r-4.5)resde_1.1.zip(r-4.4)resde_1.1.zip(r-4.3)
resde_1.1.tgz(r-4.4-any)resde_1.1.tgz(r-4.3-any)
resde_1.1.tar.gz(r-4.5-noble)resde_1.1.tar.gz(r-4.4-noble)
resde_1.1.tgz(r-4.4-emscripten)resde_1.1.tgz(r-4.3-emscripten)
resde.pdf |resde.html✨
resde/json (API)
NEWS
| # Install 'resde' in R: |
| install.packages('resde', repos = c('https://ogarciav.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/ogarciav/resde/issues
estimationstochastic-differential-equations
Last updated 2 years agofrom:776449729e. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 10 2024 |
| R-4.5-win | OK | Nov 10 2024 |
| R-4.5-linux | OK | Nov 10 2024 |
| R-4.4-win | OK | Nov 10 2024 |
| R-4.4-mac | OK | Nov 10 2024 |
| R-4.3-win | OK | Nov 10 2024 |
| R-4.3-mac | OK | Nov 10 2024 |
Exports:bcbc_invbc_primesdefitsdemodelsdemodel_displaystr2fun_thetaunitranunitran_invunitran_primeuserphiuserphiprimeuvector
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| 'resde' - Parameter estimation in reducible SDE models. | resde-package resde |
| Box-Cox transformation | bc bc_inv bc_prime |
| Fit SDE model | sdefit |
| Model specification | sdemodel |
| Display the model specification | sdemodel_display |
| String to function, with parameters in theta | str2fun_theta |
| Unified transformation | unitran unitran_inv unitran_prime |
| Examples of optional external transformation and derivative functions | userphi userphiprime |
| ML estimation vector for reducible SDEs | logdet.and.v uvector uvector_noh |
