svModelPGimpl: Implementing PG 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 for the PG sampler.

Usage

svModelPGimpl(
  measurements,
  lNumber,
  lMCMCits,
  initVals,
  initReferenceTrajectory,
  numProgressOutputs = 10L
)

Arguments

measurements	arma::vec providing the measurements
lNumber	number of particles
lMCMCits	number of PG iterations
initVals	arma::vec giving the three starting values for phiX, sigmaX and betaY
initReferenceTrajectory	initial reference trajectory values to condition on
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.