pmwg
Particle Metropolis Within Gibbs
Provides an R implementation of the Particle Metropolis within
Gibbs sampler for model parameter, covariance matrix and random effect
estimation. A more general implementation of the sampler based on the paper
by Gunawan, D., Hawkins, G. E., Tran, M. N., Kohn, R., & Brown, S. D.
(2020)
pmwg - Particle Metropolis within Gibbs 
Installation
To install the latest stable version you can use the following command to install from CRAN:
install.packages("pmwg")
If you want the (possibly unstable) development version, you can also install the package using devtools as follows:
devtools::install_github('university-of-newcastle-research/pmwg', ref="develop")
This package is tested and should work on all versions of R > 3.5, however instructions on installing to an earlier version of R are included below.
Using the package
The best introduction to the package can be found at the bookdown site located at: https://university-of-newcastle-research.github.io/samplerDoc/ The document there includes the motivation for the approach, several detailed examples of the package in action and a list of common problems and troubleshooting techniques. Also available online is the package documentation at https://university-of-newcastle-research.github.io/pmwg/ which consists of this README, a Reference of help documentation for individual functions, a list of changes to the project over time and more. Finally there is a page containing some frequently asked questions which can be found at https://university-of-newcastle-research.github.io/pmwg/FAQ.html
Included on the pmwg website is also a getting started guide to the package, available from https://university-of-newcastle-research.github.io/pmwg/articles/pmwg.html