DiffusionMCMCTools

This is a utility package belonging to a suite of packages in JuliaDiffusionBayes. It provides structs and methods that make it easier to write algorithms doing inference and/or smoothing for diffusion processes.

There are three categories of objects (that have their own, associated methods) provided in this package:

• Structs that gather all containers that are needed for sampling/inference of diffusion processes
• Structs that provide windowed views into the structs above (and hence, facilitate use of the so-called blocking technique)
• Structs that provide a translation between parameter names:
  • parameter names known to MCMC sampler
  • parameter names known to each individual diffusion law or observation

Depending on your intended use of this package you might choose to start at different places:

• For a quick overview of DiffusionMCMCTools.jl's main functionality see Get started
• For a systematic introduction to all functionality introduced in this package see the Manual
• For a didactic introduction to problems that can be solved using DiffusionMCMCTools.jl see the Tutorials
• If you have a problem that you think can be addressed with this package, then check out the How-to guides to see if the answer is already there.