svModelPMMHimpl: 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

svModelPMMHimpl(
  measurements,
  lNumber,
  lMCMCits,
  initVals,
  rwMHvar,
  numProgressOutputs = 10L
)

Arguments

measurements	arma::vec providing the measurements (or y or measurements)
lNumber	number of particles
lMCMCits	number of PMMH iterations
initVals	arma::vec giving the three starting values for phiX, sigmaX and betaY
rwMHvar	standard deviations for the RW-MH proposal step
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) and log-prior and log-likelihoood estimates

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