coupled4_maximallevels_maximalchains_coupled_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 indexes across levels and maximally coupling chains on each level with coupled residuals using common uniform random variables

Description

This function performs (4-way) coupled multinomial resampling by maximally coupling pairs of indexes across levels and maximally coupling chains on each level with with coupled residuals using common uniform random variables on each particle system.

Usage

coupled4_maximallevels_maximalchains_coupled_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.