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This project aims to provide open source software implementing the Wedge algorithm for the estimation of parameters in dynamical systems models. This project also seeks to create tutorials and resources for those using Wedge.
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A MATLAB package to simulate sample paths of the solution of a Itô or Stratonovich stochastic differential equation (SDE), compute statistics and estimate the parameters from data. A note of caution: SDE Toolbox is no more developed but it's still downloadable. Its inferential capabilities can be considered surpassed (at best). Actually the parameter estimation methods were already far from the state-of-art when the project began in 2007 (!). The considered implemented parametric and...
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