AdMit: Adaptive Mixture of Student-t Distributions

Provides functions to perform the fitting of an adaptive mixture of Student-t distributions to a target density through its kernel function as described in Ardia et al. (2009) <doi:10.18637/jss.v029.i03>. The mixture approximation can then be used as the importance density in importance sampling or as the candidate density in the Metropolis-Hastings algorithm to obtain quantities of interest for the target density itself.

Package details

AuthorDavid Ardia [aut, cre], Lennart Hoogerheide [ctb], Herman van Dijk [ctb]
MaintainerDavid Ardia <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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AdMit documentation built on May 2, 2019, 3:36 p.m.