Sparse Multivariate Diffusions: Project Home – R-Forge

Inference for discretely observed high dimensional diffusions given by SDEs with a sparse drift based on penalized loss function estimation and subsampling methods.

• Development Status : 3 - Alpha
• Intended Audience : Developers
• License : OSI Approved : GNU General Public License (GPL)
• Natural Language : English
• Programming Language : R
• Topic : Machine Learning : Model Selection and Validation
• Topic : Machine Learning : Regularized and Shrinkage Methods
• Topic : Numerical Analysis : Prob. Methods, Simulation and Stochastic Differential Equations

Registered: 2010-07-05 09:50
Activity Ranking: 0
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