pfr

Builds and runs 'c++' code for classes that encapsulate state space model, particle filtering algorithm pairs. Algorithms include the Bootstrap Filter from Gordon et al. (1993) doi:10.1049/ip-f-2.1993.0015, the generic SISR filter, the Auxiliary Particle Filter from Pitt et al (1999) doi:10.2307/2670179, and a variety of Rao-Blackwellized particle filters inspired by Andrieu et al. (2002) doi:10.1111/1467-9868.00363. For more details on the 'c++' library 'pf', see Brown (2020) doi:10.21105/joss.02599.