coupled4_CPF: 4-Coupled Conditional Particle Filter

In jeremyhengjm/UnbiasedScore: Unbiased estimators for partially observed diffusions

4-Coupled Conditional Particle Filter

Description

Runs four coupled conditional particle filters (two at each discretization level).

Usage

coupled4_CPF(
  model,
  theta,
  discretization,
  observations,
  nparticles,
  resampling_threshold,
  coupled_resampling,
  ref_trajectory_coarse1,
  ref_trajectory_coarse2,
  ref_trajectory_fine1,
  ref_trajectory_fine2,
  treestorage = FALSE
)

Arguments

model	a list representing a hidden Markov model, e.g. hmm_ornstein_uhlenbeck
theta	a vector of parameters as input to model functions
discretization	lists containing stepsize, nsteps, statelength, obstimes for fine and coarse levels, and coarsetimes of length statelength_fine indexing time steps of coarse level
observations	a matrix of observations, of size nobservations x ydimension
nparticles	number of particles
resampling_threshold	ESS proportion below which resampling is triggered (always resample at observation times by default)
coupled_resampling	a 4-marginal coupled resampling scheme, such as coupled4_maximalchains_maximallevels_independent_residuals
ref_trajectory_coarse1	a matrix of first reference trajectory for coarser discretization level, of size xdimension x statelength_coarse
ref_trajectory_coarse2	a matrix of second reference trajectory for coarser discretization level, of size xdimension x statelength_coarse
ref_trajectory_fine1	a matrix of first reference trajectory for finer discretization level, of size xdimension x statelength_fine
ref_trajectory_fine2	a matrix of second reference trajectory for finer discretization level, of size xdimension x statelength_fine
treestorage	logical specifying tree storage of Jacob, Murray and Rubenthaler (2013); if missing, this function store all states and ancestors

Value

four new trajectories stored as matrices of size xdimension x statelength_coarse/fine.

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