mssm_control: Auxiliary for Controlling Multivariate State Space Model...

In mssm: Multivariate State Space Models

Description

Auxiliary function for mssm.

Usage

mssm_control(N_part = 1000L, n_threads = 1L, covar_fac = 1.2,
  ftol_rel = 1e-06, nu = 8, what = "log_density",
  which_sampler = "mode_aprx", which_ll_cp = "no_aprx", seed = 1L,
  KD_N_max = 10L, aprx_eps = 0.001, ftol_abs = 1e-04,
  ftol_abs_inner = 1e-04, la_ftol_rel = -1, la_ftol_rel_inner = -1,
  maxeval = 10000L, maxeval_inner = 10000L, use_antithetic = FALSE)

Arguments

N_part	integer greater than zero for the number of particles to use.
n_threads	integer greater than zero for the number of threads to use.
covar_fac	positive numeric scalar used to scale the covariance matrix in the proposal distribution.
ftol_rel	positive numeric scalar with convergence threshold passed to nloptr if the mode approximation method is used for the proposal distribution.
nu	degrees of freedom to use for the multivariate t-distribution that is used as the proposal distribution. A multivariate normal distribution is used if nu <= 2.
what	character indicating what to approximate. "log_density" implies only the log-likelihood. "gradient" also yields a gradient approximation. "Hessian" also yields an approximation of the observed information matrix.
which_sampler	character indicating what type of proposal distribution to use. "mode_aprx" yields a Taylor approximation at the mode. "bootstrap" yields a proposal distribution similar to the common bootstrap filter.
which_ll_cp	character indicating what type of computation should be performed in each iteration of the particle filter. "no_aprx" yields no approximation. "KD" yields an approximation using a dual k-d tree method.
seed	integer with seed to pass to set.seed.
KD_N_max	integer greater than zero with the maximum number of particles to include in each leaf of the two k-d trees if the dual k-d trees method is used.
aprx_eps	positive numeric scalar with the maximum error if the dual k-d tree method is used.
ftol_abs, ftol_abs_inner, la_ftol_rel, la_ftol_rel_inner, maxeval, maxeval_inner	scalars passed to nlopt when estimating parameters with a Laplace approximation. The _inner denotes the values passed in the inner mode estimation. The mode estimation is done with a custom Newton–Raphson method
use_antithetic	logical which is true if antithetic variables should be used.

See Also

mssm.

See the README of the package for details of the dual k-d tree method at https://github.com/boennecd/mssm.

Examples

library(mssm)
str(mssm_control())
str(mssm_control(N_part = 2000L))

mssm documentation built on Jan. 31, 2022, 9:08 a.m.