Before revision: The main purpose of this tutorial is to introduce the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state space models (SSMs) . Throughout the tutorial, we develop an implementation of the PMH algorithm (and the integrated particle filter) in the statistical programming language R (similar code for MATLAB and Python is also provided on GitHub) .
After revision: The main purpose of this tutorial is to introduce the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state space models (SSMs) together with a software implementation in the statistical programming language R. Throughout this tutorial, we develop an implementation of the PMH algorithm (and the integrated particle filter) in the statistical programming language R (similar code for MATLAB and Python is also provided on GitHub) .