num_data = 200
N = 200
test_x, test_y = gen_univ_mrkv(num_data,
a=aa,
b=bb,
c=cc,
d=dd,
return_hidden=True)
# test_x, test_y = gen_univ_sto_vol(num_data, a=aa, b=bb, c=cc, return_hidden=True)
# test_y = np.log(np.abs(test_y))
particle_filter = ParticleFilter(test_y,
num_particles=N,
a=0.5,
b=1,
c=1.23,
d=0,
true_hidden=test_x,
num_iterations=500,
learn_rate=0.001,
do_adaptive_learn=True)
particle_filter.filter_pass()
particle_filter.plot_filter_pass()
particle_filter.calibrate_model()
particle_filter.plot_params()
particle_filter.plot_filter_pass()
particle_filter.plot_learn_rate()
