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Routines for state estimate in a linear Gaussian state space model and a simple stochastic volatility model using particle filtering. Parameter inference is also carried out in these models using the particle Metropolis-Hastings algorithm that includes the particle filter to provided an unbiased estimator of the likelihood. This package is a collection of minimal working examples of these algorithms and is only meant for educational use and as a start for learning to them on your own.
Package details |
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Author | Johan Dahlin |
Maintainer | Johan Dahlin <uni@johandahlin.com> |
License | GPL-2 |
Version | 1.5 |
URL | https://github.com/compops/pmh-tutorial-rpkg |
Package repository | View on CRAN |
Installation |
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