object Metropolis
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- def dglm(mod: Model, observations: Array[Data], proposal: (Parameters) ⇒ Rand[Parameters], prior: (Parameters) ⇒ Double, initP: Parameters, n: Int): Process[State[Parameters]]
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def
dlm(mod: Model, observations: Array[Data], proposal: (Parameters) ⇒ Rand[Parameters], prior: (Parameters) ⇒ Double, initP: Parameters): Process[State[Parameters]]
Run the metropolis algorithm for a DLM, using the kalman filter to calculate the likelihood
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def
mStep[A](proposal: (A) ⇒ Rand[A], prior: (A) ⇒ Double, likelihood: (A) ⇒ Double)(state: State[A]): Rand[State[A]]
Metropolis kernel without re-evaluating the likelihood from the previous time step
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def
proposeDiagonalMatrix(delta: Double)(m: DenseMatrix[Double]): Rand[DenseMatrix[Double]]
Update the diagonal values of a covariance matrix by adding a Gaussian perturbation and ensuring the resulting diagonal is symmetric
Update the diagonal values of a covariance matrix by adding a Gaussian perturbation and ensuring the resulting diagonal is symmetric
- delta
the standard deviation of the innovation distribution
- m
a diagonal DenseMatrix[Double], representing a covariance matrix
- returns
a distribution over the diagonal matrices
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def
proposeDouble(delta: Double)(a: Double): Rand[Double]
Add a Random innovation to a numeric value using the Gaussian distribution
Add a Random innovation to a numeric value using the Gaussian distribution
- delta
the standard deviation of the innovation distribution
- a
the starting value of the Double
- returns
a Rand[Double] representing a perturbation of the double a which can be drawn from
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def
proposeVector(delta: Double)(a: DenseVector[Double]): Rand[DenseVector[Double]]
Add a Random innovation to a DenseVector[Double] using the Gaussian distribution
Add a Random innovation to a DenseVector[Double] using the Gaussian distribution
- delta
the standard deviation of the innovation distribution
- a
the starting value of the parameter
- returns
a Rand[DenseVector[Double]] representing a perturbation of the double a which can be drawn from
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def
rmvn(chol: DenseMatrix[Double])(implicit rand: RandBasis = Rand): Rand[DenseVector[Double]]
Simulate from a multivariate normal distribution given the cholesky decomposition of the covariance matrix
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def
step[A](proposal: (A) ⇒ Rand[A], prior: (A) ⇒ Double, likelihood: (A) ⇒ Double)(state: (A, Double)): Rand[(A, Double)]
A Single Step without acceptance ratio
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def
symmetricProposal(delta: Double)(p: Parameters): Rand[Parameters]
Propose a new value of the parameters on the log scale
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