Inital release v0.4.1
Pre-release
Pre-release
This is the inital (pre-)release of Bridge.jl, a statistical toolbox for diffusion processes written in julia.
The package allows for simulation of univariate and multivariate stochastic processes in continuous time, and also from conditional diffusion processes (similar to Brownian bridges.)
Several examples illustrate how the functions in this package can be used in Bayesian inference for drift and diffusion coefficients using the Metropolis-Hastings algorithm, see F. v. d. Meulen, M. Schauer: Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals. Electronic Journal of Statistics 11 (1), 2017, 10.1214/17-EJS1290.