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helske / walker

Bayesian Generalized Linear Models with Time-Varying Coefficients
GNU General Public License v3.0
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Optimize the simulation smoother algorithm #3

Open helske opened 7 years ago

helske commented 7 years ago

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.

helske commented 3 years ago

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