object MetropolisHastings
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def
dlm(mod: Model, observations: Vector[Data], proposal: (Parameters) ⇒ ContinuousDistr[Parameters], prior: (Parameters) ⇒ Double, initP: Parameters): Process[State[Parameters]]
Run Metropolis-Hastings algorithm for a DLM, using the kalman filter to calculate the likelihood
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- def mhStep[A](proposal: (A) ⇒ ContinuousDistr[A], prior: (A) ⇒ Double, likelihood: (A) ⇒ Double)(state: State[A]): Rand[State[A]]
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def
pmmh(mod: Model, observations: Vector[Data], proposal: (Parameters) ⇒ ContinuousDistr[Parameters], prior: (Parameters) ⇒ Double, initP: Parameters, n: Int): Process[State[Parameters]]
Particle Marginal Metropolis Hastings for a ContinuousTime Model Where the log-likelihood is an estimate calculated using the bootstrap particle filter
Particle Marginal Metropolis Hastings for a ContinuousTime Model Where the log-likelihood is an estimate calculated using the bootstrap particle filter
- mod
a DGLM model
- observations
an array of observations
- initP
the intial parameters to start the Markov Chain
- n
the number of particles in the PF
- returns
a Markov Chain Process which can be drawn from
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