smcUtils-package: Provides utility functions for sequential Monte Carlo.
Description
Contains functions for resampling, evaluating non-uniformity, and
normalizing particle weights in sequential Monte Carlo, a.k.a. particle
filtering.
Arguments
Details
Package:
smcUtils
Type:
Package
Version:
0.2
Date:
2012-09-27
License:
GPL-3
LazyLoad:
yes
The workhorse of the package is `resample' which will perform multinomial,
residual, stratified, systematic, or branching resampling when a non-uniformity heuristic crosses a threshold.
References
Douc, R., Cappe, O., Moulines, E. (2005) Comparison of Resampling
Schemes for Particle Filtering. _Proceedings of the 4th International Symposium
on Image and Signal Processing and Analysis_
Carpenter, J., Clifford, P., Fearnhead, P. An improved particle filter for
non-linear problems. _IEE proceedings - Radar, Sonar and Navigation_ *146*, 2-7