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abc-sde

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approximate Bayesian computation for stochastic differential equations

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Description

A MATLAB toolbox for approximate Bayesian computation (ABC) in stochastic differential equation models.

It performs approximate Bayesian computation 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. Variance components for the "measurement error" affecting the data/observations can be estimated. A 50-pages Reference Manual is provided with two case-studies implemented and discussed. The methodology is based on the research article available at http://arxiv.org/abs/1204.5459

Author's research page is http://www.maths.lth.se/matstat/staff/umberto/

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Additional Project Details

Intended Audience

Science/Research

User Interface

Command-line

Programming Language

MATLAB

Registered

2013-05-24

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