The SMC Procedure

FILTER Statement

FILTER <options>;

The FILTER statement specifies options that are related to the filtering problem, which is to find the probability distribution of the current state conditional on the observations up to now (see the section SMC Filtering). If you specify the LEARN statement, the model parameters in the requested filtering process are set to the posterior mean or median of the corresponding model parameters; otherwise, the parameters whose initial values are specified in the PARAMETERS statement are used in the filtering process. You can specify the following options:

ALGORITHM=algorithm ALG=algorithm

specifies the particle filter algorithm to use for the filtering problem. You can specify the following algorithms:

APF<(ADP)>: specifies the auxiliary particle filter (APF) algorithm. The ADP suboption specifies the fully adapted auxiliary particle filter algorithm.
BF: specifies the bootstrap filter (BF) algorithm.
SIR<(TH | THRESH | THRESHOLD=number)>: specifies the sequential importance resampling (SIR) algorithm. The TH= option specifies the threshold (a number between 0 and 1) of the resampling step in the SIR algorithm. The resampling step occurs when the effective sample size is less than the product of the threshold and the number of particles. By default, TH=0.8.

By default, ALGORITHM=SIR.

NPARTICLE=number

specifies the number of particles to use for the filtering problem. If you omit this option, the filtering process uses the value of the NPARTICLE= option in the PROC SMC statement.

OUT<(PERCENTILES=numeric-list)>=CAS-libref.data-table OUT<(PERCENTILE=numeric-list)>=CAS-libref.data-table OUT<(PERCENT=numeric-list)>=CAS-libref.data-table OUT<(PERC=numeric-list)>=CAS-libref.data-table OUT<(PCT=numeric-list)>=CAS-libref.data-table

writes the summary of the filtering estimates to the specified output data table. The weighted average, weighted standard deviation, minimum value, first quantile, second quantile, third quantile, maximum value, and percentile points of each state variable at each time step are displayed. The optional PERCENTILES=numeric-list specifies the percentile points in the summary table of the filtering estimates, where each value in the numeric-list must be between 0 and 100 and values are separated by commas or spaces. By default, PERCENTILES=2.5, 97.5, which yields the 2.5th and 97.5th percentile points, respectively. CAS-libref.data-table is a two-level name, where CAS-libref refers to the caslib and session identifier, and data-table specifies the name of the output data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.

OUTSIM=CAS-libref.data-table

writes the filtering estimates to the specified output data table. The particle values with the corresponding normalized weights at each time step are displayed. CAS-libref.data-table is a two-level name, where CAS-libref refers to the caslib and session identifier, and data-table specifies the name of the output data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.

PARM=MEAN | MEDIAN

specifies which parameter values from the posterior distribution to use for the filtering distribution when you also specify the LEARN statement. If you omit the LEARN statement, this option is ignored. You can specify one of the following values:

MEAN: constructs the filtering distribution by using the estimated posterior means of the parameters.
MEDIAN: constructs the filtering distribution by using the estimated posterior medians of the parameters.

By default, PARM=MEAN.

Last updated: September 15, 2022