# DiffusionRjgqd

Inference and Analysis for Generalized Quadratic Jump Diffusions

## What is DiffusionRjgqd?

**DiffusionRjgqd** is collection of tools for performing inference and analysis on scalar and bivariate time-inhomogeneous jump diffusion processes with quadratic drift and diffusion terms in R.

## Why use DiffusionRjgqd?

**DiffusionRjgqd** provides a simple interface that requires minimal mathematical input in order to perform analysis on non-linear, time-inhomogeneous diffusion processes. The package also makes use of C++ in order to maximize the computational efficiency of inference routines. As such it is possible to conduct inference on a plethora of models in a desktop environment without incurring excessively long computation times.

## Get DiffusionRjgqd?

Check out DiffusionRjgqd for the package source files, vignettes and other downloadable content or visit the DiffusionRjgqd CRAN page.

# Installation Notes

Mac users may have to carry out some additional installation procedures in order for **DiffusionRjgqd** to operate optimally.

## Mac users:

To install the latest version of **Rcpp**, the latest version of R is needed. To install **RcppArmadillo**, the **Fortran** version used by R needs to be updated. To install **rgl**, the computer needs to have X11 installed. Update R to the latest version. Run the following code:

`install.packages("Rcpp", type = "source", dep = TRUE) `

#### Open a Terminal and run the following code:

curl -O http://r.research.att.com/libs/gfortran-4.8.2-darwin13.tar.bz2 sudo tar fvxz gfortran-4.8.2-darwin13.tar.bz2 -C /

#### Back in R, run the following code:

`install.packages("RcppArmadillo", dep = TRUE) `

#### Make sure you have X11 installed.

Go to Applications/Utilities and see if X11 is there. If not, you’ll need to install X11 or XQuartz. These are available from http://xquartz.macosforge.org/landing/

#### Back in R, run the following code:

`install.packages(“rgl", dep = TRUE) `

#### Download the DiffusionRjgqd package and run the code:

`install.packages("~/DiffusionRgqd_0.1.1.tar.gz", repos = NULL, type = "source”)`

#### Run the following code in R to see if the package works:

```
library(DiffpackRjgqd)
example(JGQD.density)
example(JGQD.mcmc)
```