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StateSpaceModel

class StateSpaceModel<Parameter, State, Observation> < MarkovModel<Parameter, State>

State-space model.

The joint distribution is:

Graphical model depicting StateSpaceModel.

A model inheriting from StateSpaceModel overrides the parameter, initial, transition and observation member fibers to specify the individual components of the joint distribution, rather than the simulate member fiber; likewise for the propose analogs.

As MarkovModel, from which it inherits, StateSpaceModel provides an alternative function-based interface based on the start and stop member functions.

Member Variables

Name Description
y:List<Observation> Observations.

Member Fibers

Name Description
observation Observation model.
proposeObservation Observation proposal.
proposeObservation Observation proposal.

Member Fiber Details

observation

fiber observation(y:Observation, x:State, θ:Parameter) -> Real

Observation model.

  • y: The observations, to be set.
  • x: The current state.
  • θ: The parameters.

proposeObservation

fiber proposeObservation(y:Observation, x:State, θ:Parameter) -> Real

Observation proposal.

  • y: The observations, to be set.
  • x: The current state.
  • θ: The parameters.

By default calls observation(y, x, θ).

fiber proposeObservation(y':Observation, x':State, θ':Parameter, y:Observation, x:State, θ:Parameter) -> Real

Observation proposal.

  • y': The observations, to be set.
  • x': The current state.
  • θ': The parameters.
  • y: The last observations.
  • x: The last current state.
  • θ: The last parameters.

By default calls proposeObservation(y', x', θ').