This release contains a much improved implementation of guided proposals, which adopt a new interface. The corresponding improvements for partial guided bridges are postponed for the next release, so they still use the old interface.
- New scripts
hypo.jlandelliptic.jlin the example directory to verify the correctness of the implementation. - Fix: The
llikelihoodfunction is missing a factor-1/2from the formerlikeliXcircinSDE.jl, discovered by the method. - Add a README.md file describing the examples
- Better test coverage
Cite as: M. Schauer et al. Bridge 0.6.0. Zenodo, doi:10.5281/zenodo.891231, 2017.
- Use Documenter
- Fix Ellipse regression
- Parametrize LinPro
- Add non-adaptive 3-order method for Ordinary Differential Equations
- Extended Levy process methods
- Gamma process example
- Delete chol method on UniformScaling
- Add interface mclog
- Small infrastructure for speed regressions
- Add precompile.
This is the inital (pre-)release of Bridge.jl, a statistical toolbox for diffusion processes written in julia.
The package allows for simulation of univariate and multivariate stochastic processes in continuous time, and also from conditional diffusion processes (similar to Brownian bridges.)
Several examples illustrate how the functions in this package can be used in Bayesian inference for drift and diffusion coefficients using the Metropolis-Hastings algorithm, see F. v. d. Meulen, M. Schauer: Bayesian estimation of discretely observed multi-dimensional diffusion procesases using guided proposals. Electronic Journal of Statistics 11 (1), 2017, 10.1214/17-EJS1290.