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Make mcmc.PMMH work with any Feynman-Kac class

Open nchopin opened this issue 3 years ago • 0 comments

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?

nchopin avatar Nov 28 '21 15:11 nchopin