CPF: Conditional Particle Filter

In pierrejacob/CoupledCPF: Coupling of Conditional Particle Filters

Description

Runs a conditional particle filter, with or without ancestor sampling

Usage

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

Arguments

nparticles	number of particles
model	a list representing a model, for instance as given by get_ar.
theta	a parameter to give to the model functions
observations	a matrix of observations of size datalength x dimension(observation)
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.

pierrejacob/CoupledCPF documentation built on May 25, 2019, 6:05 a.m.