pfjax.simulate

Module Contents

Functions

simulate(model, key, n_obs, x_init, theta)

Simulate data from the state-space model.

pfjax.simulate.simulate(model, key, n_obs, x_init, theta)

Simulate data from the state-space model.

Parameters

• model –

  Object specifying the state-space model having the following methods.

  • state_sim : (key, x_prev, theta) -> x_curr: Sample from the state model.

  • meas_sim : (key, x_curr, theta) -> y_curr: Sample from the measurement model.

• key – PRNG key.

• n_obs – Number of observations to generate.

• x_init – Initial state value at time t = 0.

• theta – Parameter value.

Returns

• y_meas - The sequence of measurement variables y_meas = (y_0, …, y_T), where T = n_obs-1.

• x_state - The sequence of state variables x_state = (x_0, …, x_T), where T = n_obs-1.

Return type

Tuple