A Julia package that provides tools for defining observation schemes for stochastic processes in a systematic manner.
The principal idea behind ObservationSchemes.jl is to
- provide structs (currently
LinearGsnObsandGeneralObs) that can decorate each observation separately with the information about how each particular datapoint was collected - provide a collection struct (
AllObservations) that collects- the decorated data
- together with the information about the laws of the underlying stochastic processes
- and the dependence structure between various laws (so as to facilitate working with mixed effect models)
It is a part of a larger suite of packages JuliaDiffusionBayes—a collection of efficient and intuitive tools for performing Bayesian inference for diffusion processes.