svModelPMMH: Runs PMMH procedure for the toy SV model

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

Description

Runs PMMH procedure for the toy SV model

Usage

svModelPMMH(
  data,
  initVals,
  rwMHsd,
  particles = 2000,
  iterations = 5000,
  burnin = round(iterations/2, digits = 0),
  numProgressOutputs = 10
)

Arguments

data	measurements or y
initVals	starting values as a vector in the follwoing order phiX, sigmaX, and betaY
rwMHsd	a vector of two elements giving the standard deviations for the RW-MH step
particles	number of particles
iterations	number of PMCMC iterations
burnin	burnin period (number of samples to exclude)
numProgressOutputs	int giving the number of progress outputs i.e. if set to 10, then progress output occurs for every additional 10 completion

Value

returns PMMH output

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