coupled4_maximalchains_maximallevels_independent_residuals: (4-way) coupled multinomial resampling by maximally coupling...

In jeremyhengjm/UnbiasedScore: Unbiased estimators for partially observed diffusions

(4-way) coupled multinomial resampling by maximally coupling pairs of chains on each level and maximally coupling across levels with independent residuals

Description

This function performs (4-way) coupled multinomial resampling by maximally coupling pairs of chains and maximally coupling across levels with independent residuals on each particle system.

Usage

coupled4_maximalchains_maximallevels_independent_residuals(
  normweights_coarse1,
  normweights_coarse2,
  normweights_fine1,
  normweights_fine2,
  ndraws,
  rand
)

Arguments

normweights_coarse1	normalized weights of first particle system on coarse level
normweights_coarse2	normalized weights of second particle system on coarse level
normweights_fine1	normalized weights of first particle system on fine level
normweights_fine2	normalized weights of second particle system on fine level
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 4.

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