Sstep.Clutter.Full.RB | R Documentation |
This function performs one step propagation using the sequential importance sampling with full information proposal distribution and returns Rao-Blackwellization estimate of mean under clutter environment.
Sstep.Clutter.Full.RB(mm, xx, logww, yyy, par, xdim, ydim, resample.sch)
mm |
the Monte Carlo sample size |
xx |
the samples in the last iteration. |
logww |
the log weight in the last iteration. |
yyy |
the observations. |
par |
a list of parameter values |
xdim |
the dimension of the state variable |
ydim |
the dimension of the observation |
resample.sch |
a binary vector of length |
The function returns a list with the following components:
xx |
the new sample. |
logww |
the log weights. |
xhat |
the fitted vlaues. |
xhatRB |
the fitted values using Rao-Blackwellization. |
Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.
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