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dlm.core.model

SvdSampler

object SvdSampler

Backward Sampler utilising the SVD for stability TODO: Check this

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  8. def ffbs(mod: Dlm, ys: Vector[Data], p: DlmParameters, advState: (SvdState, Double) ⇒ SvdState): Rand[Vector[SamplingState]]

    Perform forward filtering backward sampling using the SVD of the covariance matrix

  9. def ffbsDlm(mod: Dlm, ys: Vector[Data], p: DlmParameters): Rand[Vector[SamplingState]]

    Perform FFBS for a DLM using the SVD

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  13. def initialise(filtered: Array[SvdState]): SamplingState
  14. def intervalState(sampled: Seq[Seq[(Double, DenseVector[Double])]], interval: Double = 0.95): Seq[(Double, (DenseVector[Double], DenseVector[Double]))]
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  16. def meanState(sampled: Seq[Seq[SamplingState]]): Seq[List[Double]]
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  20. 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

  21. def sample(mod: Dlm, st: Vector[SvdState], sqrtW: DenseMatrix[Double]): Vector[SamplingState]

    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

    st

    the filtered state

  22. def step(mod: Dlm, sqrtW: DenseMatrix[Double])(st: SvdState, ss: SamplingState): SamplingState

    Perform a single step in the backward sampler using the SVD

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