Minimal Working Examples for Particle Metropolis-Hastings

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Documentation for package ‘pmhtutorial’ version 1.5

• DESCRIPTION file.

Help Pages

example1_lgss	State estimation in a linear Gaussian state space model
example2_lgss	Parameter estimation in a linear Gaussian state space model
example3_sv	Parameter estimation in a simple stochastic volatility model
example4_sv	Parameter estimation in a simple stochastic volatility model
example5_sv	Parameter estimation in a simple stochastic volatility model
generateData	Generates data from a linear Gaussian state space model
kalmanFilter	Kalman filter for state estimate in a linear Gaussian state space model
makePlotsParticleMetropolisHastingsSVModel	Make plots for tutorial
particleFilter	Fully-adapted particle filter for state estimate in a linear Gaussian state space model
particleFilterSVmodel	Bootstrap particle filter for state estimate in a simple stochastic volatility model
particleMetropolisHastings	Particle Metropolis-Hastings algorithm for a linear Gaussian state space model
particleMetropolisHastingsSVmodel	Particle Metropolis-Hastings algorithm for a stochastic volatility model model
particleMetropolisHastingsSVmodelReparameterised	Particle Metropolis-Hastings algorithm for a stochastic volatility model model