CPF: Conditional Particle Filter

Description Usage Arguments Value

View source: R/pf.R

Description

Runs a conditional particle filter, with or without ancestor sampling

Usage

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CPF(observations, theta, model, nparticles, ref_trajectory = NULL,
  with_as = FALSE)

Arguments

observations

a matrix of observations of size datalength x dimension(observation)

theta

a parameter to give to the model functions

model

a list representing a model, for instance as given by get_ar.

nparticles

number of particles

ref_trajectory

a reference trajectory, of size dimension(process) x datalength; if missing, runs a standard particle filter.

with_as

whether ancestor sampling should be used (TRUE/FALSE)

Value

A new trajectory.


lolmid/unbiased_intractable_targets documentation built on May 13, 2019, 11:54 p.m.