README.md

In chuanwen/seqMC: Sequential Monte Carlo

Sequential Monte Carlo for state-space models

install

library(devtools)
install_github("chuanwen/seqMC")

example usage

library(seqMC)
?seqMC
# run the example code
example(seqMC)

reference

Sequential Monte Carlo Gordon et al 1993, Novel approach to nonlinear/non-Gaussian Bayesian state

Kalman Filter Meinhold etc 1993 Understanding the Kalman Filter

Notes on Kalman Filter Chuanwen Chen 2017 Notes on Kalman Filter

Residual resample Liu, Chen 1995 Blind deconvolution via sequential imputations

Systematic resample Kitagawa 1996 Monte Carlo Filter and Smoother for Non-Gaussian Nonlinear State Space Models

chuanwen/seqMC documentation built on May 4, 2019, 3:19 p.m.