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nimbleSMC

swMATH ID: 40859
Software Authors: Nick Michaud, Perry de Valpine, Christopher Paciorek, Daniel Turek, Benjamin R. Goldstein, Dao Nguyen
Description: R package nimbleSMC: Sequential Monte Carlo Methods for ’nimble’. 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>.
Homepage: https://cran.r-project.org/web/packages/nimbleSMC/index.html
Dependencies: R
Keywords: R; R package; Journal of Statistical Software; particle filtering; sequential Monte Carlo; auxiliary particle filter; IF2 iterated filtering; ensemble Kalman filter; particle MCMC; nimbleSMC; nimble
Related Software: factorstochvol; Stan; mcmcse; FKF; CppAD; TMB; KFAS; dse; dlm; pomp; vSMC; rbi; rbiips; OpenBUGS; JAGS; WinBUGS; nimble; R; stochvol; LibBi
Referenced in: 0 Publications

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