residualResampling {serrsBayes}

Compute an ancestry vector for residual resampling of the SMC particles.

Description

Compute an ancestry vector for residual resampling of the SMC particles.

Usage

residualResampling(log_wt)

Arguments

log_wt

logarithms of the importance weights of each particle.

Value

Vector of indices to the particles that will be propagated forward to the next generation (i.e. the parents)

References

Liu & Chen (1998) "Sequential Monte Carlo methods for dynamic systems," JASA 93(443): 1032-1044, doi: 10.1080/01621459.1998.10473765

Douc, Cappe & Moulines (2005) "Comparison of resampling schemes for particle filtering" In Proc. 4th IEEE Int. Symp. ISPA, pp. 64-69, doi: 10.1109/ISPA.2005.195385