Sstep.Sonar {NTS}

Sequential Importance Sampling Step for A Target with Passive Sonar

Description

This function implements one step of the sequential importance sampling method for a target with passive sonar.

Usage

Sstep.Sonar(mm, xx, logww, yy, par, xdim = 1, ydim = 1)

Arguments

mm

the Monte Carlo sample size m.

xx

the sample in the last iteration.

logww

the log weight in the last iteration.

yy

the observations with T columns and ydim rows.

par

a list of parameter values. H is the state coefficient matrix, W*t(W) is the state innovation covariance matrix, V*t(V) is the covariance matrix of the observation noise, s2 is the second sonar location.

xdim

the dimension of the state variable x_t.

ydim

the dimension of the observation y_t.

Value

The function returns a list with the following components:

xx

the new sample.

logww

the log weights.

References

Tsay, R. and Chen, R. (2018). Nonlinear Time Series Analysis. John Wiley & Sons, New Jersey.