Particle filter

[TomDoan]

This is an example of a simple particle filter, taken from Durbin and Koopman's 2nd edition. DURK2P284.RPF does a local level model for the Nile River flow data using Kalman filtering, a very naive bootstrap particle filter (a "how not to do this" example) and a more accurately done bootstrap filter with resampling. DURK2P288.RPF uses a more efficient auxiliary particle filter.

These are for illustration, since the model can be analyzed exactly using the Kalman filter.

These are covered in considerable detail as part of the 2nd Edition of the State-Space/DSGE e-course.

durk2p284.rpf

Basic particle filter

(4.72 KiB) Downloaded 899 times

durk2p288.rpf

Auxiliary particle filter

(3.58 KiB) Downloaded 864 times

nile.dat

Data file

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