readme_nonlin

用MATLAC做的非线性时间序列预测和平滑,可以用来做非线性模型的预测和估计

RPF for Non-Linear Model
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To create .so file:

R SHLIB NonLin_singleprop2.c

NonLin_sim.R: simulated Non-Linear data.

NonLin_singleprop2.R: R interface with c code. This does a repeated analysis of the Non-Linear data to look at variability across runs.


Code from:

Fearnhead (2005) Using random quasi-Monte Carlo within Particle filters, with application to financial time series. Journal of Computational and Graphical Statistics, 14, 751-769.