Skip to main content

Advertisement

Table 2 Final estimates after 2500 iterations

From: Particle rejuvenation of Rao-Blackwellized sequential Monte Carlo smoothers for conditionally linear and Gaussian models

Parameter κ σ 1 σ 2 η 1 η 2 ρ 1 ρ 2  
Value 2.6378 0.3733 0.3485 0.5892 0.3814 0.8709 0.6761  
Std. dev 0.1999 0.005438 0.002884 0.0483 0.0349 0.0064 0.0052  
Parameter α 1 α 2 g 1 g 2 g 3 g 4 Q(1,1) Q(2,2)
Value 0.0889 −0.0281 2.3e −2 1.0e −4 3.0e −4 2.3e −2 0.9917 0.9880
Std. dev 0.004248 0.00149 1.9e −4 2.6e −4 2.3e −4 2.1e −04 6.7e −4 9.6e −4