bssm: asymptotic_var – R documentation

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asymptotic_var

Asymptotic Variance of IS-type Estimators

Estimates the asymptotic variance based on Corollary 1 of Vihola et al. (2020) from weighted samples from IS-MCMC.

asymptotic_var(x, w)

`x`	Vector of samples.
`w`	Vector of weights.

Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

v1.1.4

GPL (>= 2)

Authors

Jouni Helske [aut, cre] (<https://orcid.org/0000-0001-7130-793X>), Matti Vihola [aut] (<https://orcid.org/0000-0002-8041-7222>)

Initial release

2021-04-13