nimbleSMC

Authors Christopher Paciorek, Nick Michaud, Perry de Valpine, Daniel Turek

Last update 14 June 2024

Copyright license 3-clause BSD License, File License, GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 0.10.0, 0.10.1, 0.11.0, 0.11.1

Description

Includes five particle filtering algorithms for use with state space models in the 'nimble' system: 'Auxiliary', 'Bootstrap', 'Ensemble Kalman filter', 'Iterated Filtering 2', and 'Liu-West', as described in Michaud et al. (2021), <doi:10.18637/jss.v100.i03>. A full User Manual is available at <https://r-nimble.org>.

Cites work

Sequential Monte Carlo Methods in the nimble and nimbleSMC R Packages

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