Tutorial: An Introduction to Particle Filters

XIII Brazilian School of Time Series and Econometrics

ICMC-SP July 21-24 2009

São Carlos, Brazil

Tutorial material (PDF FILE)

Tutorial outline

Part 1: Dynamic linear models (DLM)
Part 2: Stochastic volatility models (SVM)
Part 3: Sequential Monte Carlo (SMC) methods
Part 4: SMC with parameter learning
Part 5: SMC in SVM

R code

Part 1: dlm.R – dlm-ffbs.R
Part 2: sv-ar1.R
Part 3: dlm-smc.R – bootstrapfilter-stepbystep.R – dlm-smc-smoothing.R
Part 4: dlm-smc-learningsig2-LW.R – dlm-smc-learningsig2-PL.R – nonlinearmodel-LW.R
Part 5: sv-LW.R

Other useful links

International Society for Bayesian Analysis (ISBA)
The R project
Sequential Monte Carlo homepage