unbiasedestimator_RB: Rhee-Glynn smoothing estimator with Rao-Blackwellization

In pierrejacob/CoupledCPF: Coupling of Conditional Particle Filters

Description

Estimates the expectation of a function h with respect to the invariant distribution of a Markov chain

Usage

unbiasedestimator_RB(single_kernel_RB, coupled_kernel_RB, rinit,
  h = function(x) x, k = 0, m = 1, max_iterations = Inf)

Arguments

single_kernel_RB	function to sample the Markov chain and return an estimate of integral h(x) pi(x)
rinit	function to sample from the initial distribution
h	test function to estimate (default to h(x) = x)
k	iteration at which to start averaging (default to 0)
m	iteration at which to stop averaging (default to 1)
coupled_kernel	function to sample the coupled Markov chain and return two estimates of integral h(x) pi(x)
max_niterations	iteration at which to stop the while loop (default to Infinity)

Value

a list with the estimator of the smoothing expectation (uestimator) and the meeting time (meetingtime)

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