Function ekpf_filter performs a extended Kalman particle filtering with stratification
resampling, based on Van Der Merwe et al (2001).
ekpf_filter(object, nsim, ...)# S3 method for nlg_ssm
ekpf_filter(object, nsim,
seed = sample(.Machine$integer.max, size = 1), ...)
of class nlg_ssm.
Number of samples.
Ignored.
Seed for RNG.
A list containing samples, filtered estimates and the corresponding covariances, weights from the last time point, and an estimate of log-likelihood.
Van Der Merwe, R., Doucet, A., De Freitas, N., & Wan, E. A. (2001). The unscented particle filter. In Advances in neural information processing systems (pp. 584-590).