Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models

5 Nov 2015 Johan Dahlin Thomas B. Schön

This tutorial provides a gentle introduction to the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state-space models together with a software implementation in the statistical programming language R. We employ a step-by-step approach to develop an implementation of the PMH algorithm (and the particle filter within) together with the reader. This final implementation is also available as the package pmhtutorial in the CRAN repository... (read more)

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