SMC (version 1.1)

common.1: The Common stuff for particleFilter, auxiliaryParticleFilter and sequentialMonteCarlo

Arguments

nStreams

integer $>$ 0.

nPeriods

integer $>$ 0.

dimPerPeriod

integer $>$ 0.

resampCriterionFunc

function of four arguments (currentPeriod, currentStreams, currentLogWeights, ...).

resampFunc

function of four arguments (currentPeriod, currentStreams, currentLogWeights, ...).

summaryFunc

function of four arguments (currentPeriod, currentStreams, currentLogWeights, ...).

nMHSteps

integer $\ge$ 0.

MHUpdateFunc

function of six arguments (currentPeriod, nMHSteps, currentStreams, lag1Streams, lag1LogWeights, ...).

nStreamsPreResamp

integer $>$ 0.

returnStreams

logical.

returnLogWeights

logical.

verboseLevel

integer, a value $\ge$ 2 produces a lot of output.

Value

• This function returns a list with the following components:
• draws
  a list with the following components: summary, propUniqueStreamIds, streams, logWeights, acceptanceRates. See the section Note for more details.
• nStreams
  the nStreams argument.
• nPeriods
  the nPeriods argument.
• dimPerPeriod
  the dimPerPeriod argument.
• nStreamsPreResamp
  the nStreamsPreResamp argument.
• nMHSteps
  the nMHSteps argument.
• time
  the time taken by the run.

Warning

Using very small values ($\le$ 1e3) for nStreams might not give reliable results.

Details

We introduce the following terms, which will be used in the sections Required Function and Optional Function below:

[object Object],[object Object]