Particle Filtering for DZIM

Source: R/dzim.R

Function to implement the particle filtering method proposed by Gordsill et al. (1993).

dzim.filter(y, X, w, para, control)

Arguments

y

response variable.

X

design matrix.

w

log(w) is used as an offset variable in the linear predictor.

para

model parameters.

control

control arguments.

References

Gordon, N. J., Salmond, D. J., and Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEEE Proceedings, 140, 107-113.