simulate                package:sspir                R Documentation

_F_o_r_w_a_r_d_s _f_i_l_t_e_r_i_n_g _B_a_c_k_w_a_r_d_s _s_a_m_p_l_i_n_g

_D_e_s_c_r_i_p_t_i_o_n:

     Draws N samples from the conditional distribution of
     theta_1,...,theta_n given y_1,...,y_n in a Gaussian state space
     model.

_U_s_a_g_e:

     simulate(ss, N = 1)

_A_r_g_u_m_e_n_t_s:

      ss: an object of class 'SS' with components 'm' and 'C' obtained
          from running 'kfilter'.

       N: an integer giving the number of simulated realizations
          wanted.

_V_a_l_u_e:

     An array of dimension p times n times N. The i'th simulated state
     vector at time t is located in '[,t,i]'.

_A_u_t_h_o_r(_s):

     Claus Dethlefsen and Sren Lundbye-Christensen.

_R_e_f_e_r_e_n_c_e_s:

     C.K. Carter and R. Kohn (1994). On Gibbs Sampling for State Space
     Models. Biometrika, 3, 541-553.

_S_e_e _A_l_s_o:

     'ssm', 'kfilter', 'smoother'.

