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'.

Version: 1.0.4
Depends: R (≥ 3.0.0)
Imports: Rcpp (≥ 0.12.7), methods, stats, tools
LinkingTo: Rcpp, RcppArmadillo, RcppProgress
Suggests: knitr, rmarkdown, testthat, RcppArmadillo, RcppProgress
Published: 2019-01-15
Author: Martin Lysy [aut, cre], Feiyu Zhu [aut], JunYong Tong [aut], Nigel Delaney [ctb]
Maintainer: Martin Lysy <mlysy at>
License: GPL-3
NeedsCompilation: yes
CRAN checks: msde results


Reference manual: msde.pdf
Vignettes: Example models provided by msde
Getting started with msde
Package source: msde_1.0.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: msde_1.0.4.tgz, r-oldrel: msde_1.0.4.tgz
Old sources: msde archive


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