pmcmc
and pfilter
now have the capability of saving filtered trajectories. These can be extracted using the new method filter.traj
.
The principal use will be in conjunction with pmcmc
, where, upon convergence to the posterior, samples from the filtered trajectories will be draws from the posterior P[x[1:T] | y[1:T]], i.e., the smoothing distribution.
Thanks to Sebastian Funk for initiating this development!
pomp: statistical inference for
partially-observed
Markov processes