Version 1.0.0 by Lawrence Murray
Ornstein--Uhlenbeck model for diffusion bridge sampling and parameter estimation with U.S. Federal Funds Rate data.
./init.sh
This simulates a number of parameter sets from the prior for testing. GNU Octave is required. Running it is optional, as a number of parameter sets are already included.
./run.sh
This runs a particle filter as well as samples from the posterior distribution using a Federal Funds Rate data set.
./test.sh
This runs tests on the bootstrap and bridge particle filters on the simulated parameter sets. Alternatively, these tests may be run as an array job on a cluster:
qsub -t 0-15 qsub_test_bridge.sh
qsub -t 0-15 qsub_test_bootstrap.sh
Finally, results may be plot with:
octave --path oct/ --eval "plot_and_print"
GNU Octave and OctBi are required.
Note that, as of version 1.1.0 of LibBi, running any of these gives the warnings:
Warning (line 29): 'obs' variables should not appear on the right side of actions in the 'transition' block.
Warning (line 42): 'obs' variables should not appear on the right side of actions in the 'lookahead_transition' block.
This is normal.
This package includes an Ornstein–Uhlenbeck model that is observed directly. The task is to simulate diffusion bridges between the observed values. The form of the model is: \(dx=(\theta_{1}-\theta_{2}x)\, dt+\theta_{3}\, dW,\) with parameters $\theta_1$, $\theta_2$ and $\theta_3$ to be estimated. It was used as a test case in Del Moral & Murray (2014). The package may be used to reproduce the results in that paper.
A U.S. Federal Funds Rate data set is included. The data set contains 25 years of data at a monthly time interval, beginning January 1989 and ending December
data/obs.nc. The data set was obtained from
http://www.federalreserve.gov/releases/h15/data.htm on 7 April 2014.Del Moral, P. & Murray, L. M. Sequential Monte Carlo with Highly Informative Observations, 2014. [arXiv]