example1_lgss |
State estimation in a linear Gaussian state space model |
example2_lgss |
Parameter estimation in a linear Gaussian state space model |
example3_sv |
Parameter estimation in a simple stochastic volatility model |
example4_sv |
Parameter estimation in a simple stochastic volatility model |
example5_sv |
Parameter estimation in a simple stochastic volatility model |
generateData |
Generates data from a linear Gaussian state space model |
kalmanFilter |
Kalman filter for state estimate in a linear Gaussian state space model |
makePlotsParticleMetropolisHastingsSVModel |
Make plots for tutorial |
particleFilter |
Fully-adapted particle filter for state estimate in a linear Gaussian state space model |
particleFilterSVmodel |
Bootstrap particle filter for state estimate in a simple stochastic volatility model |
particleMetropolisHastings |
Particle Metropolis-Hastings algorithm for a linear Gaussian state space model |
particleMetropolisHastingsSVmodel |
Particle Metropolis-Hastings algorithm for a stochastic volatility model model |
particleMetropolisHastingsSVmodelReparameterised |
Particle Metropolis-Hastings algorithm for a stochastic volatility model model |