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updated licence and comments.
Former-commit-id: e225f92 [formerly e225f92 [formerly 58cf10c]] Former-commit-id: 20880175fb41e0b4e895e3d8500ad2c2c562ead3 Former-commit-id: c34bd13
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‎README.md‎

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``` R
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##############################################################################
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#
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# Copyright (C) 2017 Johan Dahlin < liu (at) johandahlin.com.nospam >
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#
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# This program is free software; you can redistribute it and/or modify
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# it under the terms of the GNU General Public License as published by
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# the Free Software Foundation; either version 2 of the License, or
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# You should have received a copy of the GNU General Public License along
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# with this program; if not, write to the Free Software Foundation, Inc.,
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# 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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#
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##############################################################################
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```

‎matlab/README.md‎

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--------------
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``` R
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##############################################################################
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#
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# Copyright (C) 2017 Johan Dahlin < liu (at) johandahlin.com.nospam >
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#
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# This program is free software; you can redistribute it and/or modify
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# it under the terms of the GNU General Public License as published by
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# the Free Software Foundation; either version 2 of the License, or
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# You should have received a copy of the GNU General Public License along
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# with this program; if not, write to the Free Software Foundation, Inc.,
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# 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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#
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##############################################################################
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```

‎matlab/example1_lgss.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% State estimation in a LGSS model using particle and Kalman filters
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Set random seed

‎matlab/example2_lgss.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Example of particle Metropolis-Hastings in a LGSS model.
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Set random seed

‎matlab/example3_sv.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Example of particle Metropolis-Hastings in a stochastic volatility model
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Set random seed

‎matlab/generateData.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Generates data from the LGSS model
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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function[states, observations] = generateData(parameters, noObservations, initialState)
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states = zeros(noObservations+1, 1);

‎matlab/kalmanFilter.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Kalman filtering
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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function xHatFiltered = kalmanFilter(observations, parameters, initialState, initialStateCov)
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‎matlab/particleFilter.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Fully-adapted particle filter for the linear Gaussian SSM
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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function[xHatFiltered, logLikelihood] = particleFilter(observations, parameters, noParticles, initialState)
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‎matlab/particleFilterSVmodel.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Bootstrap particle filter for the SV model
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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function[xHatFiltered, logLikelihood] = particleFilterSVmodel(observations, parameters, noParticles)
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‎matlab/particleMetropolisHastings.m‎

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% Particle Metropolis-Hastings (PMH) for the LGSS model
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% (c) Johan Dahlin 2017 under MIT license <liu@johandahlin.com.nospam>
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%
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% Johan Dahlin <liu (at) johandahlin.com.nospam>
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% Documentation at https://github.com/compops/pmh-tutorial
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% Published under GNU General Public License
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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function[phi] = particleMetropolisHastings(observations, initialPhi, parameters, noParticles, initialState, noIterations, stepSize)
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