Particle Smoothing for DZIM

Source: R/dzim.R

Function to implement the particle smoothing method proposed by Gordsill et al. (2004).

dzim.smooth(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

Gordsill, S. J., Doucet, A., and West, M. (2004). Monte Carlo smoothing for nonlinear time series. Journal of the American Statistical Association, 99, 156-168.