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2012 Mar 22
0
New package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters
...rature have been added to the
package:
blockpfGaussianOpt() provides the Block Sampling Particle Filter of
Doucet, Briers and Senecal (2006, JCGS 15:693) in the context of a
univariate linear Gaussian model.
pfNonlinBS() provides the Bootstrap Particle Filter of
Gordon, Salmond and Smith (1993, IEE Proceedings-F 140:107)
in the context of the ubiquitous nonlinear model which was used in
section 4.1 of that paper.
These examples are hopefully of some pedagogic interest and provide templates
which can be used to guide the implementation of more complicated algo...
2012 Mar 22
0
New package RcppSMC 0.1.0 for Sequential Monte Carlo and Particle Filters
...rature have been added to the
package:
blockpfGaussianOpt() provides the Block Sampling Particle Filter of
Doucet, Briers and Senecal (2006, JCGS 15:693) in the context of a
univariate linear Gaussian model.
pfNonlinBS() provides the Bootstrap Particle Filter of
Gordon, Salmond and Smith (1993, IEE Proceedings-F 140:107)
in the context of the ubiquitous nonlinear model which was used in
section 4.1 of that paper.
These examples are hopefully of some pedagogic interest and provide templates
which can be used to guide the implementation of more complicated algo...