get_path_bs: Get a path from the output of a particle filter using...

In jeremyhengjm/UnbiasedScore: Unbiased estimators for partially observed diffusions

Get a path from the output of a particle filter using backward sampling (Whiteley, 2010)

Description

Get a path from the output of a particle filter by sampling an ancestry.

Usage

get_path_bs(
  model,
  discretization,
  xtrajectory,
  ancestries,
  ancestor,
  store_logweights
)

Arguments

model	a list representing a hidden Markov model, e.g. hmm_ornstein_uhlenbeck
discretization	list containing stepsize, nsteps, statelength and obstimes
xtrajectory	an array of particle states, of size statelength x xdimension x nparticles
ancestries	a matrix of ancestor indexes, of size statelength x nparticles
ancestor	an ancestor index at the terminal step
store_logweights	a matrix of log-weights, of size nobservations x nparticles

Value

a matrix containing a new trajectory of size xdimension x statelength.

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