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core.dlm.model

SvdSampler

object SvdSampler

Backward Sampler utilising the SVD for stability TODO: Check this

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Type Members

  1. case class State(time: Double, theta: DenseVector[Double], at1: DenseVector[Double]) extends Product with Serializable

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  1. final def !=(arg0: Any): Boolean
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  8. def ffbs(mod: Model, ys: Vector[Data], p: Parameters): Rand[Vector[(Double, DenseVector[Double])]]

    Perform forward filtering backward sampling

  9. def finalize(): Unit
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  10. final def getClass(): Class[_]
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  11. def hashCode(): Int
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  12. def initialise(filtered: Array[SvdFilter.State]): State
  13. def intervalState(sampled: Seq[Seq[(Double, DenseVector[Double])]], interval: Double = 0.95): Seq[(Double, (DenseVector[Double], DenseVector[Double]))]
  14. final def isInstanceOf[T0]: Boolean
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  15. def meanState(sampled: Seq[Seq[(Double, DenseVector[Double])]]): Seq[List[Double]]
  16. final def ne(arg0: AnyRef): Boolean
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  18. final def notifyAll(): Unit
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  19. def rnorm(mu: DenseVector[Double], d: DenseVector[Double], u: DenseMatrix[Double]): Rand[DenseVector[Double]]

    Simulate from a normal distribution given the right vectors and singular values of the covariance matrix

    Simulate from a normal distribution given the right vectors and singular values of the covariance matrix

    mu

    the mean of the multivariate normal distribution

    d

    the square root of the diagonal in the SVD of the Error covariance matrix C_t

    u

    the right vectors of the SVDfilter

    returns

    a DenseVector sampled from the Multivariate Normal distribution with mean mu and covariance u d2 uT

  20. def sample(mod: Model, w: DenseMatrix[Double], st: Vector[SvdFilter.State]): Vector[(Double, DenseVector[Double])]

    Given a vector containing the SVD filtered results, perform backward sampling

    Given a vector containing the SVD filtered results, perform backward sampling

    mod

    a DLM specification

    w

    the system error matrix

  21. def step(mod: Model, sqrtWInv: DenseMatrix[Double])(st: SvdFilter.State, ss: State): State

    Perform a single step in the backward sampler using the SVD

  22. final def synchronized[T0](arg0: ⇒ T0): T0
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  23. def toString(): String
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  26. final def wait(arg0: Long): Unit
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