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# MATLAB code for PMH tutorial
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This MATLAB code implements the Kalman filter (KF), particle filter (PF) and particle Metropolis-Hastings (PMH) algorithm for two different dynamical models: a linear Gaussian state-space (LGSS) model and a stochastic volatilty (SV) model. Note that the Kalman filter can only be employed for the first of these two models. The details of the code is described in the tutorial paper available at http://arxiv.org/pdf/1511.01707
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This MATLAB code implements the Kalman filter (KF), particle filter (PF) and particle Metropolis-Hastings (PMH) algorithm for two different dynamical models: a linear Gaussian state-space (LGSS) model and a stochastic volatility (SV) model. Note that the Kalman filter can only be employed for the first of these two models. The details of the code is described in the tutorial paper available at http://arxiv.org/pdf/1511.01707
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Note that the MATLAB code in this folder covers the basic implementations in the paper. The notation of the variables has been changed sligthly compared with the tutorial paper to improve readability of the code. However, it should be easy to translate between the two. See the R code in r/ for all the implementations and to recreate the results in the tutorial.
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# with this program; if not, write to the Free Software Foundation, Inc.,
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# 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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