svModelPMMHr: Runs a Particle Marginal Metropolis Hastings on the toy SV...

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

Description

Runs a Particle Marginal Metropolis Hastings on the toy SV model

Usage

svModelPMMHr(
  numParticles,
  rwVCMprop,
  y,
  initVals,
  numIter,
  numProgressOutputs = 10
)

Arguments

numParticles	number of particles
rwVCMprop	variance-covariance matrix of the RW-MH proposal
y	measurements
initVals	vector of starting values for phi, sigmaX, and betaY
numIter	number of PMMH 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

a list of parameter samples of for sigma-y and beta-y

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