object SvdSampler
Backward Sampler utilising the SVD for stability TODO: Check this
- Alphabetic
- By Inheritance
- SvdSampler
- AnyRef
- Any
- Hide All
- Show All
- Public
- All
Value Members
-
final
def
!=(arg0: Any): Boolean
- Definition Classes
- AnyRef → Any
-
final
def
##(): Int
- Definition Classes
- AnyRef → Any
-
final
def
==(arg0: Any): Boolean
- Definition Classes
- AnyRef → Any
-
final
def
asInstanceOf[T0]: T0
- Definition Classes
- Any
-
def
clone(): AnyRef
- Attributes
- protected[java.lang]
- Definition Classes
- AnyRef
- Annotations
- @native() @throws( ... )
-
final
def
eq(arg0: AnyRef): Boolean
- Definition Classes
- AnyRef
-
def
equals(arg0: Any): Boolean
- Definition Classes
- AnyRef → Any
-
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
-
def
ffbsDlm(mod: Dlm, ys: Vector[Data], p: DlmParameters): Rand[Vector[SamplingState]]
Perform FFBS for a DLM using the SVD
-
def
finalize(): Unit
- Attributes
- protected[java.lang]
- Definition Classes
- AnyRef
- Annotations
- @throws( classOf[java.lang.Throwable] )
-
final
def
getClass(): Class[_]
- Definition Classes
- AnyRef → Any
- Annotations
- @native()
-
def
hashCode(): Int
- Definition Classes
- AnyRef → Any
- Annotations
- @native()
- def initialise(filtered: Array[SvdState]): SamplingState
- def intervalState(sampled: Seq[Seq[(Double, DenseVector[Double])]], interval: Double = 0.95): Seq[(Double, (DenseVector[Double], DenseVector[Double]))]
-
final
def
isInstanceOf[T0]: Boolean
- Definition Classes
- Any
- def meanState(sampled: Seq[Seq[SamplingState]]): Seq[List[Double]]
-
final
def
ne(arg0: AnyRef): Boolean
- Definition Classes
- AnyRef
-
final
def
notify(): Unit
- Definition Classes
- AnyRef
- Annotations
- @native()
-
final
def
notifyAll(): Unit
- Definition Classes
- AnyRef
- Annotations
- @native()
-
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
-
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
-
def
step(mod: Dlm, sqrtW: DenseMatrix[Double])(st: SvdState, ss: SamplingState): SamplingState
Perform a single step in the backward sampler using the SVD
-
final
def
synchronized[T0](arg0: ⇒ T0): T0
- Definition Classes
- AnyRef
-
def
toString(): String
- Definition Classes
- AnyRef → Any
-
final
def
wait(): Unit
- Definition Classes
- AnyRef
- Annotations
- @throws( ... )
-
final
def
wait(arg0: Long, arg1: Int): Unit
- Definition Classes
- AnyRef
- Annotations
- @throws( ... )
-
final
def
wait(arg0: Long): Unit
- Definition Classes
- AnyRef
- Annotations
- @native() @throws( ... )