bssm (version 0.1.11)

bootstrap_filter: Bootstrap Filtering

Description

Function bootstrap_filter performs a bootstrap filtering with stratification resampling.

Usage

bootstrap_filter(object, nsim, ...)
# S3 method for gssm
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for bsm
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for ngssm
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for ng_bsm
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for svm
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for ng_ar1
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for nlg_ssm
bootstrap_filter(object, nsim,
  seed = sample(.Machine$integer.max, size = 1), ...)
# S3 method for sde_ssm
bootstrap_filter(object, nsim, L,
  seed = sample(.Machine$integer.max, size = 1), ...)

Arguments

object

of class bsm, ng_bsm or svm.

nsim

Number of samples.

...

Ignored.

seed

Seed for RNG.

L

Integer defining the discretization level for SDE models.

Value

A list containing samples, weights from the last time point, and an estimate of log-likelihood.