Before revision: We provide a gentle introduction to 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.
After revision: This tutorial provides a gentle introduction to 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.