####################################################################### # # PseudoMarginal/Particle MCMC example # source("SIR.R") ##Load in function SIRfilterSV; and SVsim ##simulate data -- remember observations are data\$y data=SVsim(100,c(0.9, sqrt(1-0.9^2), 1)) ##parameters are (phi,sigma,gamma) ###PRIOR on logit(phi); log(tau); and gamma are normal; means and sd given in vector ## p.m and p.sd respectively p.m=c(3,-1,1);p.sd=c(1,1,1) ### random walk sds given by prop.sd prop.sd=c(0.5,0.1,0.1) M=5000 #number of MCMC iterations N=100 #number of particles ###Storage state.st=matrix(0,nrow=M,ncol=4) acc.n=rep(0,3) ##accept prob for each update ##Initialise state.cur=rep(0,4) ##State is logit(phi),log(tau),gamma, log(Z) state.cur[1:3]=rnorm(3,p.m,p.sd) ###Initially just assume phi is unknown state.cur[3]=1 ##gamma=1 state.cur[2]=0 ##log-tau=0 phi=exp(state.cur[1])/(1+exp(state.cur[1])) sigma=exp(state.cur[2])*sqrt(1-phi^2) par=c(phi,sigma,state.cur[3] ) ##parameters needed for input to PF prior=c(0,exp(state.cur[2])) ##Prior for X_1 is N(0,tau^2) state.cur[4]=SIRfilterSV(N,data\$y,par,prior,PLOT=F)\$l for(i in 1:M){ ##Update logit(phi) lp.prop=rnorm(1,state.cur[1],prop.sd[1]) ##Generate estimate of log(p(data|parameters)) phi=exp(lp.prop)/(1+exp(lp.prop)) sigma=exp(state.cur[2])*sqrt(1-phi^2) par=c(phi,sigma,state.cur[3] ) ##parameters needed for input to PF prior=c(0,exp(state.cur[2])) ##Prior for X_1 is N(0,tau^2) Z.prop=SIRfilterSV(N,data\$y,par,prior,PLOT=F)\$l ##Acceptance probability: again proposal ratio cancels acc.p=exp(Z.prop-state.cur[4]+ sum(dnorm(c(lp.prop,state.cur[2:3]),p.m,p.sd,log=T))-sum(dnorm(state.cur[1:3],p.m,p.sd,log=T)) ) if(runif(1)