readme_arch

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 ARCH Model
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To create .so file:

R SHLIB ARCH_singleprop.c

ARCH_sim.R: simulated ARCH data.

ARCH_singleprop.R: R interfacr with c code. This does a repeated analysis of the ARCH 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.