svModelALTracking: Runs PMMH procedure for the toy SV model

In ilyaZar/SVmodelRcppSMC: RcppSMC package example for the Stochastic volatitly model

Description

Runs PMMH procedure for the toy SV model

Usage

svModelALTracking(
  data,
  initVals,
  particles = 8,
  resampleFreq = 0.5,
  printALinfo = FALSE
)

Arguments

data	measurements or y
initVals	starting values as a vector in the follwoing order phiX, sigmaX, and betaY
particles	number of particles
resampleFreq	frequency at which resampling is performed; if negative, then resampling is never performed; if between [0,1), then resampling is performed when the ESS falls below that proportion of the number of particles and when it is greater than or equal to 1, resampling is carried out when the ESS falls below that value (note: if this parameter is larger than the total number of particles, then resampling will always be performed!)

Value

returns PMMH output

ilyaZar/SVmodelRcppSMC documentation built on Dec. 20, 2021, 6:57 p.m.