Creates diagnoistic plots from runs of the particle Metropolis-Hastings algorithm.
makePlotsParticleMetropolisHastingsSVModel(y, res, noBurnInIterations,
noIterations, nPlot)Observations from the model for \(t=1,...,T\).
The output from a run of particleMetropolisHastings, particleMetropolisHastingsSVmodel or particleMetropolisHastingsSVmodelReparameterised.
The number of burn-in iterations in the PMH algorithm. Must be smaller than noIterations.
The number of iterations in the PMH algorithm.
Number of steps in the Markov chain to plot.
The function returns plots similar to the ones in the reference as well as the estimate of the integrated autocorrelation time for each parameter.
Dahlin, J. & Schon, T. B. "Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models." Journal of Statistical Software, Code Snippets, 88(2): 1--41, 2019.