simulate: Forwards filtering Backwards sampling
In ClausDethlefsen/sspir: State Space Models in R

Description Usage Arguments Value Author(s) References See Also Examples

Draws N samples from the conditional distribution of θ_1,…,θ_n given y_1,…,y_n in a Gaussian state space model.

1	ksimulate(ss, N = 1)

`ss`	an object of class `SS` with components `m` and `C` obtained from running `kfilter`.
`N`	an integer giving the number of simulated realizations wanted.

An array of dimension n \times p \times N. The i'th simulated state vector at time t is located in [t,,i].

Claus Dethlefsen and Søren Lundbye-Christensen.

C.K. Carter and R. Kohn (1994). On Gibbs Sampling for State Space Models. Biometrika, 3, 541-553.

ssm, kfilter, smoother.

data(kurit)
m1 <- SS(kurit)
phi(m1) <- c(100,5)
m0(m1) <- matrix(130)
C0(m1) <- matrix(400)

m1 <- kfilter(m1)
m1.s <- smoother(m1)
sim <- ksimulate(m1,10)

plot(kurit)
for (i in 1:10) lines(sim[,,i],lty=2,col=2)

lines(smoother(m1)$m,lwd=2)