svModelPG: Runs PG procedure for the toy SV model

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

Description

Runs PG procedure for the toy SV model

Usage

svModelPG(
  data,
  startingVals,
  startingTrajectory,
  particles = 2000,
  iterations = 5000,
  numProgressOutputs = 10
)

Arguments

data	measurements or y
startingVals	starting values as a vector in the following order phiX, sigmaX, and betaY
startingTrajectory	initial reference trajectory condition for the conditional SMC part of the PG algorith
particles	number of particles
iterations	number of PMCMC iterations
numProgressOutputs	int giving the number of progress outputs i.e. if set to 10, then progress output occurs for every additional 10 completion

Value

Rcpp::List containing the results: parameter samples (sigmaX, betaY)

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