batchSeqMC: Sequential Monte Carlo

In chuanwen/seqMC: Sequential Monte Carlo

Description

Sequential Monte Carlo

Usage

batchSeqMC(f, logprob_y_given_x, x0, y, sample_method = c("systematic",
  "residual", "bootstrap"))

Arguments

f	function, when called with parameter t (time point) and x_t (state vector at time t), it would return x_(t+1)
logprob_y_given_x	function, when called with parameter t (time point), y_t (observation vector at time t) and x_t (state vector at time t), it would return the conditional log_probability: log(Prob(y_t | x_t ))
x0	matrix, sample of state vector at time 0, each col is a sample of state at time 0.
y	matrix of T cols, observations, col 1 is observation at time 1, col 2 is observation at time 2, ... etc. T is the number of time points.
sample_method	character, specify sample method in the resample stage. Default systematic, means "systematic resampling".

Value

sample from posterior distribution of state vectors, a 3D array, with dimension of d x N x T, where d is the length of a state vector, N is the number of samples, T is the number of time steps.

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