abc sde

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Quick description about abc sde:

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/.

Audience: Science/Research.
User interface: Command-line.
Programming Language: MATLAB.
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