approximateBayesiancomputation for stochastic differential equations
A MATLAB toolbox for approximateBayesiancomputation (ABC) in stochastic differential equation models.
It performs approximateBayesiancomputation for stochastic models having latent dynamics defined by stochastic differential equations (SDEs) and not limited to the "state-space" modelling framework. Both one- and multi-dimensional SDE systems are supported and partially observed systems are easily accommodated.
A library for fast computation of Gauss transforms in multiple dimensions, using the Improved Fast Gauss Transform and Approximate Nearest Neighbor searching. This library is useful for efficient Kernel Density Estimation (KDE) using a Gaussian kernel.