mif2: The MIF2 algorithm

In mif2: MIF2 algorithm development package

Description

The MIF2 algorithm for estimating the parameters of a partially-observed Markov process.

Usage

## S4 method for signature 'pomp'
mif2(object, Nmif = 1, start, Np, perturb.fn,
    tol = 1e-17, max.fail = Inf, verbose = getOption("verbose"),
    transform = FALSE, ...)
## S4 method for signature 'pfilterd.pomp'
mif2(object, Nmif = 1, Np, tol, ...)
## S4 method for signature 'mif2d.pomp'
mif2(object, Nmif, start, Np, perturb.fn,
    tol, transform, ...)
## S4 method for signature 'mif2d.pomp'
continue(object, Nmif = 1, ...)

Arguments

object	An object of class pomp.
Nmif	The number of MIF iterations to perform.
start	named numerical vector; the starting guess of the parameters.
Np	the number of particles to use in filtering. This may be specified as a single positive integer, in which case the same number of particles will be used at each timestep. Alternatively, if one wishes the number of particles to vary across timestep, one may specify Np either as a vector of positive integers (of length length(time(object,t0=TRUE))) or as a function taking a positive integer argument. In the latter case, Np(k) must be a single positive integer, representing the number of particles to be used at the k-th timestep: Np(0) is the number of particles to use going from timezero(object) to time(object)[1], Np(1), from timezero(object) to time(object)[1], and so on, while when T=length(time(object,t0=TRUE)), Np(T) is the number of particles to sample at the end of the time-series.
perturb.fn	perturb.fn(params,mifiter,timeno,...)
tol	See the description under pfilter.
max.fail	See the description under pfilter.
verbose	logical; if TRUE, print progress reports.
transform	logical; if TRUE, optimization is performed on the transformed scale.
...	additional arguments that override the defaults.

Author(s)

Aaron A. King kingaa at umich dot edu

References

E. L. Ionides, A. Bhadra, Y. Atchad\'e, & A. A. King, Iterated filtering, Annals of Statistics, 39:1776–1802, 2011.

See Also

pomp, pomp-class, pfilter.

mif2 documentation built on May 2, 2019, 6:48 p.m.