Particle filter: document remaining options

(@stepan removed trailing spaces)
mr#1897
Johannes Pfeifer 2021-08-13 12:23:27 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 341aca25ad
commit cc04ef6ebf
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
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@ -7266,6 +7266,58 @@ block decomposition of the model (see :opt:`block`).
``nonlinear_filter_initialization=1`` (initialization based on
the first order approximation of the model).
.. option:: particle_filter_options = (NAME, VALUE, ...)
A list of NAME and VALUE pairs. Can be used to set some fine-grained
options for the particle filter routines. The set of available options
depends on the selected filter routine.
More information on particle filter options is available at
`<https://git.dynare.org/Dynare/dynare/-/wikis/Particle-filters>`__.
Available options are:
``'pruning'``
Enable pruning for particle filter-related simulations. Default: ``false``.
``'liu_west_delta'``
Set the value for delta for the Liu/West online filter. Default: ``0.99``.
``'unscented_alpha'``
Set the value for alpha for unscented transforms. Default: ``1``.
``'unscented_beta'``
Set the value for beta for unscented transforms. Default: ``2``.
``'unscented_kappa'``
Set the value for kappa for unscented transforms. Default: ``1``.
``'initial_state_prior_std'``
Value of the diagonal elements for the initial covariance of the state
variables when employing ``nonlinear_filter_initialization=3``. Default: ``1``.
``'mixture_state_variables'``
Number of mixture components in the Gaussian-mixture filter (gmf)
for the state variables. Default: ``5``.
``'mixture_structural_shocks'``
Number of mixture components in the Gaussian-mixture filter (gmf)
for the structural shocks. Default: ``1``.
``'mixture_measurement_shocks'``
Number of mixture components in the Gaussian-mixture filter (gmf)
for the measurement errors. Default: ``1``.
*Note*
If no ``mh_jscale`` parameter is used for a parameter in