run_mcmc

State space model object of <code>bssm</code> package.

object

n_iter

Parameters to specific methods. See <code><a rd-options="" href="/link/run_mcmc.gssm?package=bssm&version=0.1.8" data-mini-rdoc="bssm::run_mcmc.gssm">run_mcmc.gssm</a></code> and
<code><a rd-options="" href="/link/run_mcmc.ngssm?package=bssm&version=0.1.8" data-mini-rdoc="bssm::run_mcmc.ngssm">run_mcmc.ngssm</a></code> for details.

Adaptive Markov chain Monte Carlo simulation of state space models using
Robust Adaptive Metropolis algorithm by Vihola (2012).

Efficient methods for Bayesian inference of state space models
via particle Markov chain Monte Carlo and parallel importance sampling type weighted
Markov chain Monte Carlo (Vihola, Helske, and Franks, 2017, <arXiv:1609.02541>).
Gaussian, Poisson, binomial, or negative binomial
observation densities and basic stochastic volatility models with Gaussian state
dynamics, as well as general non-linear Gaussian models and discretised diffusion models
are supported.

Jouni Helske

bssm

Bayesian Inference of Non-Linear and Non-Gaussian State Space
Models

Matti Vihola

run_mcmc function

Parameters to specific methods. See <code><a rd-options='' href='run_mcmc.gssm'>run_mcmc.gssm</a></code> and
<code><a rd-options='' href='run_mcmc.ngssm'>run_mcmc.ngssm</a></code> for details.

run_mcmc: Bayesian Inference of State Space Models

Description

Usage

Arguments

References