gaussian_approx

gaussian_approx.ng_bsm

object

max_iter

conv_tol

<p>Returns the approximating Gaussian model.</p>

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

gaussian_approx function

Gaussian approximation of non-Gaussian state space model — gaussian_approx

Gaussian approximation of non-Gaussian state space model

gaussian_approx: Gaussian approximation of non-Gaussian state space model

Description

Usage

Arguments