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Make mcmc.PMMH work with any Feynman-Kac class
By default, PMMH runs the bootstrap filter associated to the considered state-space model. It is possible to use a different algorithm, by setting argument fk_cls
to another Feynman-Kac
class; however, this works only for FK classes that have the same structure as state_space_models.Bootstrap
or state_space_models.GuidedPF
(taking as arguments data
and ssm
, for the state-space model). What if the user wants to specify a FK class with a different structure?