readme_nonlin

来自「是例子滤波方面的一个很好的算法模块」· 代码 · 共 16 行

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.