Question: Use SMC to re-analyze Example 1.4. (a) Use the estimated model in Example 1.4 to obtain the filtered and smoothed estimate of t and compare.

Use SMC to re-analyze Example 1.4.

(a) Use the estimated model in Example 1.4 to obtain the filtered and smoothed estimate of σt and compare.

(b) Treat the estimated σ0, σ1 and σ13 obtained in Example 4 as known, and estimate the dispersion parameter σ by evaluating the log-likelihood function using SMC on a grid between 0.05 to 0.15. Obtain estimates and compare them with those obtained in Example 1.4.

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