MKFstep.fading | R Documentation |
This function implements the one propagation step under mixture Kalman filter for fading channels.
MKFstep.fading(mm, II, mu, SS, logww, yyy, par, xdim, ydim, resample)
mm |
the Monte Carlo sample size. |
II |
the indicators. |
mu |
the mean in the last iteration. |
SS |
the covariance matrix of the Kalman filter components in the last iteration. |
logww |
is the log weight of the last iteration. |
yyy |
the observations with |
par |
a list of parameter values. |
xdim |
the dimension of the state variable |
ydim |
the dimension of the observation |
resample |
a binary vector of length |
The function returns a list with components:
xhat |
the fitted value. |
xhatRB |
the fitted value using Rao-Blackwellization. |
Iphat |
the estimated indicators. |
IphatRB |
the estimated indicators using Rao-Blackwellization. |
Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.
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