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.

Author
Johan Dahlin <johan.dahlin@liu.se>
Date of publication
2016-01-19 18:04:57
Maintainer
Johan Dahlin <johan.dahlin@liu.se>
License
GPL-2
Version
1.0.0
URLs

View on CRAN

Man pages

example1_lgss
State estimation in a linear Gaussian state space model
example2_lgss
Parameter estimation in a linear Gaussian state space model
example3_sv
Parameter estimation in a simple stochastic volatility model
example4_sv
Parameter estimation in a simple stochastic volatility model
example5_sv
Parameter estimation in a simple stochastic volatility model
generateData
Generates data from a linear Gaussian state space model
kf
Kalman filter for state estimate in a linear Gaussian state...
pmh
Particle Metropolis-Hastings algorithm for a linear Gaussian...
pmh_sv
Particle Metropolis-Hastings algorithm for a stochastic...
pmh_sv_reparameterised
Particle Metropolis-Hastings algorithm for a stochastic...
pmhtutorial-package
Minimal working examples for particle Metropolis-Hastings
sm
Fully-adapted particle filter for state estimate in a linear...
sm_sv
Bootstrap particle filter for state estimate in a simple...

Files in this package

pmhtutorial
pmhtutorial/NAMESPACE
pmhtutorial/NEWS.md
pmhtutorial/R
pmhtutorial/R/example5.R
pmhtutorial/R/example4.R
pmhtutorial/R/stateEstimationHelper.R
pmhtutorial/R/example3.R
pmhtutorial/R/example1.R
pmhtutorial/R/parameterEstimationHelper.R
pmhtutorial/R/example2.R
pmhtutorial/README.md
pmhtutorial/MD5
pmhtutorial/DESCRIPTION
pmhtutorial/man
pmhtutorial/man/pmhtutorial-package.Rd
pmhtutorial/man/example4_sv.Rd
pmhtutorial/man/example5_sv.Rd
pmhtutorial/man/pmh_sv.Rd
pmhtutorial/man/kf.Rd
pmhtutorial/man/example2_lgss.Rd
pmhtutorial/man/example1_lgss.Rd
pmhtutorial/man/sm_sv.Rd
pmhtutorial/man/pmh_sv_reparameterised.Rd
pmhtutorial/man/generateData.Rd
pmhtutorial/man/example3_sv.Rd
pmhtutorial/man/pmh.Rd
pmhtutorial/man/sm.Rd