Constructs an object of class sde_ssm by defining the functions for
the drift, diffusion and derivative of diffusion terms of univariate SDE,
as well as the log-density of observation equation. We assume that the
observations are measured at integer times (missing values are allowed).
sde_ssm(y, drift, diffusion, ddiffusion, obs_pdf, prior_pdf, theta, x0,
positive)Observations as univariate time series (or vector) of length \(n\).
An external pointers for the C++ functions which define the drift, diffusion and derivative of diffusion functions of SDE.
An external pointer for the C++ function which computes the observational log-density given the the states and parameter vector theta.
An external pointer for the C++ function which computes the prior log-density given the parameter vector theta.
Parameter vector passed to all model functions.
Fixed initial value for SDE at time 0.
If TRUE, positivity constraint is
forced by abs in Millstein scheme.
Object of class sde_ssm.
As in case of nlg_ssm models, these general models need a bit more effort from
the user, as you must provide the several small C++ snippets which define the
model structure. See SDE vignette for an example.