svModelALtrackingImp: Implementing PMMH for the toy SV model.

In ilyaZar/SVmodelRcppSMC: RcppSMC package example for the Stochastic volatitly model

Description

The main cpp-function powering the R wrapper.

Usage

svModelALtrackingImp(
  measurements,
  initVals,
  lNumber,
  resampleFreq = 0.5,
  printALinfo = FALSE
)

Arguments

measurements	arma::vec providing the measurements (or y or measurements)
initVals	arma::vec giving the three starting values for phiX, sigmaX and betaY
lNumber	number of particles
resampleFreq	frequency at which resampling is performed; if negative, then resampling is never performed; if between [0,1), then resampling is performed when the ESS falls below that proportion of the number of particles and when it is greater than or equal to 1, resampling is carried out when the ESS falls below that value (note: if this parameter is larger than the total number of particles, then resampling will always be performed!)

Value

Rcpp::List containing the results: parameter samples (sigmaX, betaY) and log-prior and log-likelihoood estimates

ilyaZar/SVmodelRcppSMC documentation built on Dec. 20, 2021, 6:57 p.m.