nimbleSMC

swMATH40859CRANnimbleSMCMaRDI QIDQ1354484

Sequential Monte Carlo Methods for 'nimble'

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

Last update: 10 September 2023

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

Software version identifier: 0.10.1, 0.10.0, 0.11.0

Source code repository: https://github.com/cran/nimbleSMC

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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