svModelPGr: Runs a particle Gibbs procedure on the toy SV model

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

Description

Runs a particle Gibbs procedure on the toy SV model

Usage

svModelPGr(
  y,
  numParticles,
  startingValues,
  numIter,
  xRinit,
  asSampling = FALSE,
  numProgressOutputs = 10
)

Arguments

y	measurements i.e. observations of latent state process
numParticles	number of particles
startingValues	vector of three giving the starting values for the parameters in the following order: phiX, sigmaX, and betaY
numIter	number of PG iterations
xRinit	initial particle to condition on (reference trajectory)
asSampling	logical; if TRUE, then ancestor sampling is performed
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.