In my previous blog post I showed how to implement a particle filter in C++.
In this post I will implement a backward-simulation particle smoother (see Example 3 in the code below) and a method for forecasting with the particle filter (Example 4) in C++. By using R packages Rcpp (version 0.12.11) and RcppArmadillo (version 0.7.800.2.0) it is possible to subsequently run this smoother and forecasting method in R. Continue reading Implementing a particle filter in C++ using Rcpp (part 2)