Companion Code for Tempered Particle Filtering

by Ed Herbst and Frank Schorfheide

Click here to read the latest version of the draft.

Installation

If you're using a linux distribution, the easiest way to install this software is by using Conda, a packaging tool which helps disseminate scientific software.

At the command prompt, type:

conda config --add channels conda-forge 
conda config --add channels eherbst 
conda install tempered_pf

Conda will install executables tpf_everything, tpf_driver, tpf_figures_and_tables.

Installation by hand

This project is written principally in Fortran, and so requires a fortran compiler. It uses the fortress library (available here.) Installation goes like:

1. Install fortress by hand or via Conda.
2. Clone / download this repository.
3. Edit the makefile to link to libfortress.so (and its dependencies) correctly.
4. At the prompt:

make tpf

This will result an executable tpf_driver.

Usage

The main program is tpf driver, which runs all of the calculations reported in the paper.

eherbst@thnkpd:~$ ./tpf_driver --help
usage: tpf_driver  [--bootstrap] [--model value] [--sample value] [--npart value] [--pmsv value] [--nintmh value] [--rstar value] [--nsim value] [--seed value] [--output-file value] [--save-states] [--help] [--version]

Program to highlight the tempered particle filter.


Optional switches:
   --bootstrap
    default value .false.
    Use the bootstrap particle filter instead of TPF
   --model value, -m value, value in: `nkmp,sw`
    default value nkmp
    Model
   --sample value, -s value, value in: `great_moderation,great_recession`
    default value great_moderation
    Sample
   --npart value, -n value
    default value 4000
    Number of particles
   --pmsv value, -p0 value
    default value p0.txt
    Parameter File
   --nintmh value, -mh value
    default value 1
    Number of intermediate MH steps (for TPF)
   --rstar value, -r value
    default value 2.0
    Inefficiency Ratio (for TPF)
   --nsim value
    default value 100
    Number of repetitions
   --seed value
    default value 1848
    random seed to use
   --output-file value, -o value
    default value output.json
    Output File
   --save-states
    default value .false.
    Output File
   --help, -h
    Print this help message
   --version, -v
    Print version