scale_ergodic: ScaLE Ergodic Extraction

In mpoll/scale: The Scaleable Langevin Exact Algorithm -- Reference Implementation

Description

Functional that takes the simulation output from running ScaLE (scale_exact or scale_extend or scale_logistic) and extracts weighted draws for use within the QSMC estimator.

User is free to specify what proportion of the output is to be retained as a fraction of the total output, or as a function of diffusion time. By default the entire simulation is extracted for use within the QSMC estimator.

Usage

scale_ergodic(simn, retain.frac = NULL, retain.frac.range = NULL, trunc.time = NULL, trunc.time.range = NULL, even.weights = NULL)

Arguments

simn	Output from running scale_exact or scale_extend or scale_logistic
retain.frac	Specify the fraction of the simulation to be retained, otherwise do not specify
retain.frac.range	Specify a vector of length 2 containing the lower and upper diffusion time of the simulation to be extracted, otherwise do not specify
trunc.time	Specify the diffusion time from which the simulation is to be retained, otherwise do not specify
trunc.time.range	Specify a vector of length 2 containing the lower and upper diffusion time of the simulation to be extracted, otherwise do not specify
even.weights	TRUE returns a (re-sampled) particle set with equal weights. FALSE returns weighted particle set. FALSE by default

Value

idxs	Mesh indicies extracted
times	Vector of times extracted
weights	Vector of particle weights
draws	Matrix of particle draws (draws x dimension)

Author(s)

M Pollock

References

See Section 3.3 of Pollock et al. (2016)

See Also

scale_exact scale_extend scale_logistic

mpoll/scale documentation built on Dec. 9, 2019, 7:15 a.m.