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NTS (version 1.1.3)

Sstep.Sonar: Sequential Importance Sampling Step for A Target with Passive Sonar

Description

This function implements one step of the sequential importance sampling method for a target with passive sonar.

Usage

Sstep.Sonar(mm, xx, logww, yy, par, xdim = 1, ydim = 1)

Value

The function returns a list with the following components:

xx

the new sample.

logww

the log weights.

Arguments

mm

the Monte Carlo sample size m.

xx

the sample in the last iteration.

logww

the log weight in the last iteration.

yy

the observations with T columns and ydim rows.

par

a list of parameter values. H is the state coefficient matrix, W*t(W) is the state innovation covariance matrix, V*t(V) is the covariance matrix of the observation noise, s2 is the second sonar location.

xdim

the dimension of the state variable x_t.

ydim

the dimension of the observation y_t.

References

Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.