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PAWL (version 0.5)

smc: Sequential Monte Carlo

Description

Sequential Monte Carlo samplers, using a sequence of tempered distributions.

Usage

smc(target, AP, verbose)

Arguments

target
Object of class target: specifies the target distribution. See the help of target. The target must be defined on a continuous state space.
AP
Object of class "smcparameters": specifies the number of particles, the ESS threshold, the sequence of distributions, etc. See the help of smcparameters.
verbose
Object of class "logical": if TRUE (default) then prints some indication of progress in the console.

Value

The function returns a list holding various information:
particles
a matrix with rows representing particles and columns components of each particle.
weights
a vector of weights associated to each particle. See also the convenience function normalizeweight.
ESSarray
a vector of the ESS computed at each iteration.
resamplingtimes
a vector indicating the iteration at which resampling was performed.

See Also

smcparameters