RcppSMC

v. 
by Dirk Eddelbuettel
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Type Package
Date 2014-05-02
License GPL (>= 2)
LazyLoad yes
LinkingTo Rcpp
Packaged 2014-05-02 11:34:16.897816 UTC; edd
NeedsCompilation yes
Repository CRAN
Date/Publication 2014-05-02 15:38:11

Rcpp bindings for Sequential Monte Carlo

This package provides R with access to the Sequential Monte Carlo Template Classes by Johansen (Journal of Statistical Software, 2009, v30, i6). At present, two additional examples have been added, and the first example from the JSS paper has been extended. Further integration and extensions are planned.
Full Readme

Functions in RcppSMC

Name Description
pfNonlinBS Nonlinear Bootstrap Particle Filter (Univariate Non-Linear State Space Model)
blockpfGaussianOpt Block Sampling Particle Filter (Linear Gaussian Model; Optimal Proposal)
pfLineartBS Particle Filter Example
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