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Update SMC docstring for accuracy
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rsarfati committed Aug 21, 2019
1 parent 6ba9aec commit 3a3894e
Showing 1 changed file with 7 additions and 7 deletions.
14 changes: 7 additions & 7 deletions src/smc.jl
Original file line number Diff line number Diff line change
Expand Up @@ -9,7 +9,7 @@ function smc(loglikelihood::Function, parameters::ParameterVector{U}, data::Matr
- `loglikelihood::Function`: Log-likelihood function of model being estimated. Takes `parameters`
and `data` as arguments.
- `parameters::ParameterVector{U}`: Model parameter vector, which stores parameter values,
prior dists, and bounds
prior dists, and bounds.
- `data`: A matrix or dataframe containing the time series of the observables used in
the calculation of the posterior/loglikelihood
- `old_data`: A matrix containing the time series of observables of previous data
Expand All @@ -36,7 +36,7 @@ function smc(loglikelihood::Function, parameters::ParameterVector{U}, data::Matr
- `:multinomial`: Will use multinomial resampling.
- `:polyalgo`: Samples using a polyalgorithm.
- `threshold_ratio::S`: Threshold s.t. particles will be resampled when the population
drops below threshold * N
drops below threshold * N.
- `c::S`: Scaling factor for covariance of the particles. Controls size of steps in mutation step.
- `α::S`: The mixture proportion for the mutation step's proposal distribution.
- `target::S`: The initial target acceptance rate for new particles during mutation.
Expand All @@ -46,16 +46,16 @@ function smc(loglikelihood::Function, parameters::ParameterVector{U}, data::Matr
- `tempering_target::S`: Coefficient of the sample size metric to be targeted when solving
for an endogenous ϕ.
- `old_data::Matrix{S}`:
- `old_cloud::ParticleCloud`:
- `old_data::Matrix{S}`: data from vintage of last SMC estimation.
- `old_cloud::Cloud`: associated cloud borne of old data in previous SMC estimation.
- `old_vintage::String`: String for vintage date of old data
- `smc_iteration::Int`: The iteration index for the number of times SMC has been run on the
same data vintage. Primarily for numerical accuracy/testing purposes.
- `run_test::Bool`: Flag for when testing accuracy of program
- `filestring_addl::Vector{String}`: Additional file string extension for loading old cloud.
- `continue_intermediate::Bool`: Flag to indicate whether one is continuing SMC from an
intermediate stage/
intermediate stage.
- `intermediate_stage_start::Int`: Intermediate stage at which one wishes to begin the estimation.
- `save_intermediate::Bool`: Flag for whether one wants to save intermediate Cloud objects
- `intermediate_stage_increment::Int`: Save Clouds at every increment
Expand Down Expand Up @@ -106,8 +106,8 @@ function smc(loglikelihood::Function, parameters::ParameterVector{U}, data::Matr

# Mutation Settings
c::S = 0.5, # step size
α::S = 1.0, # mixture_proportion
target::S = 0.25, # target_accept
α::S = 1.0, # mixture proportion
target::S = 0.25, # target accept rate

use_fixed_schedule::Bool = true,
tempering_target::S = 0.97,
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