simulate {sspir}R Documentation

Forwards filtering Backwards sampling

Description

Draws N samples from the conditional distribution of theta_1,...,theta_n given y_1,...,y_n in a Gaussian state space model.

Usage

simulate(ss, N = 1)

Arguments

ss an object of class SS with components m and C obtained from running kfilter.
N an integer giving the number of simulated realizations wanted.

Value

An array of dimension p times n times N. The i'th simulated state vector at time t is located in [,t,i].

Author(s)

Claus Dethlefsen and Søren Lundbye-Christensen.

References

C.K. Carter and R. Kohn (1994). On Gibbs Sampling for State Space Models. Biometrika, 3, 541-553.

See Also

ssm, kfilter, smoother.


[Package sspir version 0.1.0 Index]