Description Usage Arguments Details Value Author(s) References See Also
Modified versions of the Liu and West (2001) algorithm.
1 2 3 4 5 6 7 8 9 10 | ## S4 method for signature 'pomp'
bsmc2(object, params, Np, est, smooth = 0.1,
tol = 1e-17, seed = NULL,
verbose = getOption("verbose"), max.fail = 0,
transform = FALSE, ...)
## S4 method for signature 'pomp'
bsmc(object, params, Np, est, smooth = 0.1,
ntries = 1, tol = 1e-17, lower = -Inf, upper = Inf, seed = NULL,
verbose = getOption("verbose"), max.fail = 0,
transform = FALSE, ...)
|
object |
An object of class |
params, Np |
Specifications for the prior distribution of particles. See details below. |
est |
Names of the rows of |
smooth |
Kernel density smoothing parameters.
The compensating shrinkage factor will be |
ntries |
Number of draws from |
tol |
Particles with log likelihood below |
lower, upper |
optional; lower and upper bounds on the priors. This is useful in case there are box constraints satisfied by the priors. The posterior is guaranteed to lie within these bounds. |
seed |
optional; an object specifying if and how the random number generator should be initialized (‘seeded’).
If |
verbose |
logical; if |
max.fail |
The maximum number of filtering failures allowed. If the number of filtering failures exceeds this number, execution will terminate with an error. |
transform |
logical;
if |
... |
currently ignored. |
There are two ways to specify the prior distribution of particles.
If params
is unspecified or is a named vector, Np
draws are made from the prior distribution, as specified by rprior
.
Alternatively, params
can be specified as an npars
x Np
matrix (with rownames).
bsmc
uses version of the original algorithm that includes a plug-and-play auxiliary particle filter.
bsmc2
discards this auxiliary particle filter and appears to give superior performance for the same amount of effort.
An object of class “bsmcd.pomp”. The “params” slot of this object will hold the parameter posterior medians. The slots of this class include:
post |
A matrix containing draws from the approximate posterior distribution. |
prior |
A matrix containing draws from the prior distribution (identical to |
eff.sample.size |
A vector containing the effective number of particles at each time point. |
smooth |
The smoothing parameter used (see above). |
seed |
The state of the random number generator at the time |
nfail |
The number of filtering failures encountered. |
cond.log.evidence |
A vector containing the conditional log evidence scores at each time point. |
log.evidence |
The estimated log evidence. |
weights |
The resampling weights for each particle. |
Michael Lavine (lavine at math dot umass dot edu), Matthew Ferrari (mferrari at psu dot edu), Aaron A. King (kingaa at umich dot edu), Edward L. Ionides (ionides at umich dot edu)
Liu, J. and M. West. Combining Parameter and State Estimation in Simulation-Based Filtering. In A. Doucet, N. de Freitas, and N. J. Gordon, editors, Sequential Monte Carlo Methods in Practice, pages 197-224. Springer, New York, 2001.
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