smc: Sequential Monte Carlo

Description Usage Arguments Value Author(s) See Also

View source: R/smc.R

Description

Sequential Monte Carlo samplers, using a sequence of tempered distributions.

Usage

1
smc(target, AP, verbose)

Arguments

target

Object of class target: specifies the target distribution. See the help of target. The target must be defined on a continuous state space.

AP

Object of class "smcparameters": specifies the number of particles, the ESS threshold, the sequence of distributions, etc. See the help of smcparameters.

verbose

Object of class "logical": if TRUE (default) then prints some indication of progress in the console.

Value

The function returns a list holding various information:

particles

a matrix with rows representing particles and columns components of each particle.

weights

a vector of weights associated to each particle. See also the convenience function normalizeweight.

ESSarray

a vector of the ESS computed at each iteration.

resamplingtimes

a vector indicating the iteration at which resampling was performed.

Author(s)

Luke Bornn <bornn@stat.harvard.edu>, Pierre E. Jacob <pierre.jacob.work@gmail.com>

See Also

smcparameters


PAWL documentation built on May 2, 2019, 5:58 a.m.