CRAN/E | Rdtq

Rdtq

Density Tracking by Quadrature

Installation

About

Implementation of density tracking by quadrature (DTQ) algorithms for stochastic differential equations (SDEs). DTQ algorithms numerically compute the density function of the solution of an SDE with user-specified drift and diffusion functions. The calculation does not require generation of sample paths, but instead proceeds in a deterministic fashion by repeatedly applying quadrature to the Chapman-Kolmogorov equation associated with a discrete-time approximation of the SDE. The DTQ algorithm is provably convergent. For several practical problems of interest, we have found the DTQ algorithm to be fast, accurate, and easy to use.

Key Metrics

Version 0.1
R ≥ 3.2.0
Published 2016-11-22 2760 days ago
Needs compilation? yes
License GPL-2
License GPL-3
CRAN checks Rdtq results

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Maintainer

Maintainer

Harish S. Bhat

Authors

Harish S. Bhat
R. W. M. A. Madushani
Shagun Rawat

Material

README
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 3.2.0

Imports

Rcpp ≥ 0.12.4
Matrix ≥ 1.2

Suggests

ggplot2 ≥ 2.1
scales ≥ 0.4.0

LinkingTo

Rcpp