Consider the AR(1) state plus noise model discussed in Example 6.6. Implement the algorithm of Storvik (2002)
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Consider the AR(1) state plus noise model discussed in Example 6.6.
Implement the algorithm of Storvik (2002) for ltering with parameter estimation and compare it to other SMC algorithms such as that of Liu and West (2001) and the PL algorithm of Carvalho, Johannes, Lopes, and Polson (2010) discussed in Example 6.6.
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Authors: Raquel Prado, Marco A. R. Ferreira, Mike West
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