resde
Estimation in Reducible Stochastic Differential Equations
v1.1
·
May 19, 2023
·
GPL (>= 2)
Description
Maximum likelihood estimation for univariate reducible stochastic differential equation models. Discrete, possibly noisy observations, not necessarily evenly spaced in time. Can fit multiple individuals/units with global and local parameters, by fixed-effects or mixed-effects methods. Ref.: Garcia, O. (2019) "Estimating reducible stochastic differential equations by conversion to a least-squares problem", Computational Statistics 34(1): 23-46, <doi:10.1007/s00180-018-0837-4>.
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1.1
Mar 10, 2026