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Table 3 Efficient particle size M eff of the proposed SMC methods for different ARMA models with fGn

From: Sequential Monte Carlo for inference of latent ARMA time-series with innovations correlated in time

PF type Effective particle size (M eff )
  Known a,b Known a,b Unknown a,b, DA Unknown a,b,, IS Unknown a,b, DA Unknown a,b IS
  Known \(\sigma _{u}^{2}\) Unknown \(\sigma _{u}^{2}\) Known \(\sigma _{u}^{2}\) Known \(\sigma _{u}^{2}\) Unknown \(\sigma _{u}^{2}\) Unknown \(\sigma _{u}^{2}\)
AR(1), H=0.5 737.19 710.72 753.00 210.89 619.77 173.54
AR(1), H=0.7 712.37 696.36 750.13 194.98 606.86 207.05
AR(1), H=0.9 734.99 724.64 772.48 199.88 628.91 179.13
MA(1), H=0.5 766.83 745.32 784.75 219.95 711.18 193.41
MA(1), H=0.7 753.40 746.07 785.24 209.51 709.84 205.89
MA(1), H=0.9 791.34 779.44 835.39 229.24 741.39 202.39
ARMA(1,1), H=0.5 653.89 662.80 668.61 84.061 530.88 86.080
ARMA(1,1), H=0.7 610.05 605.56 626.75 78.602 466.84 83.643
ARMA(1,1), H=0.9 645.51 638.31 673.09 62.790 504.69 93.404