Description Usage Arguments Value References
Generic sequential Monte Carlo using full information proposal distribution.
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SISstep.Full |
a function that performs one step propagation using a proposal distribution.
Its input includes |
nobs |
the number of observations |
yy |
the observations with |
mm |
the Monte Carlo sample size |
par |
a list of parameter values to pass to |
xx.init |
the initial samples of |
xdim |
the dimension of the state varible |
ydim |
the dimension of the observation |
resample.sch |
a binary vector of length |
delay |
the maximum delay lag for delayed weighting estimation. Default is zero. |
funH |
a user supplied function |
The function returns a list with the following components:
xhat |
the fitted values. |
loglike |
the log-likelihood. |
Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.
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