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Optimize the simulation smoother algorithm #3

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helske opened this issue Jun 22, 2017 · 1 comment
Open

Optimize the simulation smoother algorithm #3

helske opened this issue Jun 22, 2017 · 1 comment
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enhancement good first issue

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@helske
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helske commented Jun 22, 2017

Current implementation of the simulation smoother algorithm used in walker_glm is somewhat slow, as I am not taking account the fact that we are simulating multiple samples from the same model. The corrections are relatively straightforward, and should be implemented at some point. Essentially same code is available in bssm package as well, so it should be pretty easy to just convert those codes to Stan.
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helske commented Mar 2, 2021

Actually, it would be better to replace the simulation smoother with psi-APF, which scales better with long time series.

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