Filter data, initialised with a draw from the joint-posterior of the state and parameters p(x, theta | y) at time t
Filter data, initialised with a draw from the joint-posterior of the state and parameters p(x, theta | y) at time t
the starting time of the filter, the initial state is assumed to be sampled from this time. The initial state is then advanced to the time of the next observation
a draw from the full-joint posterior distribution at time t, output from the PMMH
Apply the particle filter with a draw from the joint posterior of the state and parameters, p(x, theta | y)
This class represents a particle filter which takes a sample from the joint-posterior of the parameters and state p(x, theta | y)