coupled2_maximal_coupled_residuals: (2-way) Maximally coupled multinomial resampling with coupled...

In jeremyhengjm/UnbiasedScore: Unbiased estimators for partially observed diffusions

(2-way) Maximally coupled multinomial resampling with coupled residuals using common uniform random variables

Description

This function performs (2-way) maximally coupled multinomial resampling with coupled residuals using common uniform random variables on each particle system.

Usage

coupled2_maximal_coupled_residuals(normweights1, normweights2, ndraws, rand)

Arguments

normweights1	normalized weights of first particle system
normweights2	normalized weights of second particle system
ndraws	number of samples from multinomial distribution
rand	common uniform random variables used for the coupled resampling

Value

a matrix of ancestor indexes of size ndraws x 2.

jeremyhengjm/UnbiasedScore documentation built on Nov. 17, 2023, 1:48 a.m.