pomp (version 0.45-8)

bsmc: Liu and West Bayesian Particle Filter

Description

Generates draws from the posterior distribution for the parameters using the Liu and West algorithm. bsmc gives draws from the posterior.

Usage

## S3 method for class 'pomp':
bsmc(object, params, Np, est, smooth = 0.1,
     ntries = 1, tol = 1e-17, lower = -Inf, upper = Inf, seed = NULL,
     verbose = getOption("verbose"), max.fail = 0,
     transform = FALSE, ...)

Value

• An object of class bsmcd.pomp. The params slot of this object will hold the parameter posterior medians. The slots of this class include:
• post
  A matrix containing draws from the approximate posterior distribution.
• prior
  A matrix containing draws from the prior distribution (identical to params on call).
• eff.sample.size
  A vector containing the effective number of particles at each time point.
• smooth
  The smoothing parameter used (see above).
• seed
  The state of the random number generator at the time bsmc was called. If the argument seed was specified, this is a copy; if not, this is the internal state of the random number generator at the time of call.
• nfail
  The number of filtering failures encountered.
• cond.log.evidence
  A vector containing the conditional log evidence scores at each time point.
• log.evidence
  The estimated log evidence.
• weights
  The resampling weights for each particle.

See Also

pomp-class

Examples

## See the vignettes for examples.