Description Usage Arguments Value References
The function implements the sequential Monte Carlo method using sequential importance sampling for stochastic volatility models.
1 | wrap.SMC(par.natural, yy, mm, setseed = T, resample = T)
|
par.natural |
contains three parameters in AR(1) model. The first one is the stationary mean, the second is the AR coefficient, and the third is stationary variance. |
yy |
the data. |
mm |
the Monte Carlo sample size. |
setseed |
the seed number. |
resample |
the logical value indicating for resampling. |
The function returns the log-likelihood of the data.
Tsay, R. and Chen, R. (2019). Nonlinear Time Series Analysis. Wiley, New Jersey.
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