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!

NSF
NCEAS
NIH

This software has been made possible by support from the U.S. National Science Foundation (Grants #EF-0545276, #EF-0430120), by the “Inference for Mechanistic Models” Working Group supported by the National Center for Ecological Analysis and Synthesis (a Center funded by N.S.F. (Grant #DEB-0553768), the University of California, Santa Barbara, and the State of California), and by the RAPIDD program of the Science & Technology Directorate, Department of Homeland Security and the Fogarty International Center, U.S. National Institutes of Health.