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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