pmhtutorial: Minimal Working Examples for Particle Metropolis-Hastings

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.

Getting started

Package details

AuthorJohan Dahlin
MaintainerJohan Dahlin <[email protected]>
Package repositoryView on CRAN
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pmhtutorial documentation built on Jan. 11, 2019, 5:04 p.m.