PF_control {dynamichazard}R Documentation

Auxiliary for Controlling Particle Fitting

Description

Auxiliary for additional settings with PF_EM.

Usage

PF_control(N_fw_n_bw = NULL, N_smooth = NULL, N_first = NULL,
  eps = 0.01, forward_backward_ESS_threshold = NULL,
  method = "AUX_normal_approx_w_cloud_mean", n_max = 25,
  n_threads = getOption("ddhazard_max_threads"),
  smoother = "Fearnhead_O_N", Q_tilde = NULL, est_a_0 = TRUE,
  N_smooth_final = N_smooth, nu = 0L, covar_fac = -1,
  ftol_rel = 1e-08, averaging_start = -1L)

Arguments

N_fw_n_bw

number of particles to use in forward and backward filter.

N_smooth

number of particles to use in particle smoother.

N_first

number of particles to use at time 0 and time d + 1.

eps

convergence threshold in EM method.

forward_backward_ESS_threshold

required effective sample size to not re-sample in the particle filters.

method

method for forward, backward and smoothing filter.

n_max

maximum number of iterations of the EM algorithm.

n_threads

maximum number threads to use in the computations.

smoother

smoother to use.

Q_tilde

covariance matrix of additional error term to add to the proposal distributions. NULL implies no additional error term.

est_a_0

FALSE if the starting value of the state model should be fixed. Does not apply for type = "VAR".

N_smooth_final

number of particles to sample with replacement from the smoothed particle cloud with N_smooth particles using the particles' weights. This causes additional sampling error but decreases the computation time in the M-step.

nu

integer with degrees of freedom to use in the (multivariate) t-distribution used as the proposal distribution. A (multivariate) normal distribution is used if it is zero.

covar_fac

factor to scale the covariance matrix with. Ignored if the values is less than or equal to zero.

ftol_rel

tolerance passed to nloptr in mode approximation.

averaging_start

index to start averaging. Values less then or equal to zero yields no averaging.

Details

The method argument can take the following values

The smoother argument can take the following values

Value

A list with components named as the arguments.

References

Gordon, N. J., Salmond, D. J., and Smith, A. F. (1993) Novel approach to nonlinear/non-Gaussian Bayesian state estimation. In IEE Proceedings F (Radar and Signal Processing), (Vol. 140, No. 2, pp. 107-113). IET Digital Library.

Pitt, M. K., and Shephard, N. (1999) Filtering via simulation: Auxiliary particle filters. Journal of the American statistical association, 94(446), 590-599.

Fearnhead, P., Wyncoll, D., and Tawn, J. (2010) A sequential smoothing algorithm with linear computational cost. Biometrika, 97(2), 447-464.

Briers, M., Doucet, A., and Maskell, S. (2010) Smoothing algorithms for state-space models. Annals of the Institute of Statistical Mathematics, 62(1), 61.

See Also

PF_EM


[Package dynamichazard version 0.6.5 Index]