This function performs one step propagation using the sequential importance sampling with full information proposal distribution and returns Rao-Blackwellization estimate of mean under clutter environment.
Sstep.Clutter.Full.RB(mm, xx, logww, yyy, par, xdim, ydim, resample.sch)The function returns a list with the following components:
the new sample.
the log weights.
the fitted vlaues.
the fitted values using Rao-Blackwellization.
the Monte Carlo sample size m.
the samples in the last iteration.
the log weight in the last iteration.
the observations.
a list of parameter values (ssw,ssv,pd,nyy,yr), where ssw is the standard deviation in the state equation,
ssv is the standard deviation for the observation noise, pd is the probability to observe the true signal, nyy the dimension of the data,
and yr is the range of the data.
the dimension of the state variable x_t.
the dimension of the observation y_t.
a binary vector of length obs, reflecting the resampling schedule. resample.sch[i]= 1 indicating resample should be carried out at step i.
Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.