CPFSAEM: Run a Conditional Particle Stochastic Approximation EM chain

In nickpoison/nltsa: Nonlinear Time Series Analysis

Description

This function implements Particle Stochastic Approximation EM

Usage

  CPFSAEM(initial.nlss, y, n.particles = function(i) {
        30 }, sa.rate = function(i) {     1/(i + 1)^(2/3)
    }, n.em, .progress = progress_text, ...)

Arguments

initial.nlss	NLSS whose parameters value will serve as starting point
y	Observations
n.particles	Number of particles
n.em	Number of SAEM iterations
sa.rate	Learning rate as a function of the iteration
.progress	Progress bar to use, from plyr package, default to progress_text
...	Extra parameters to pass to the SISR filter, see function sisr

Value

A list with the same components as MH

See Also

MH, sisr, random.walk

nickpoison/nltsa documentation built on May 23, 2019, 4:48 p.m.