sliceGammaVariance: Generate a random sample of gamma for the R-BSL-V method of...

In BSL: Bayesian Synthetic Likelihood

Generate a random sample of gamma for the R-BSL-V method of \insertCiteFrazier2019;textualBSL using slice sampling

Description

This function updates the gamma parameter with a slice sampler \insertCiteNeal2003BSL. The target distribution is the variance inflated approximate posterior of BSL with model misspecification. See \insertCiteFrazier2019;textualBSL. Note this function is mainly designed for internal usage.

Usage

sliceGammaVariance(
  ssy,
  ssx,
  loglike,
  gamma = numeric(length(ssy)),
  tau = 1,
  w = 1,
  std = NULL,
  maxit = 1000
)

Arguments

ssy	The observed summary statisic.
ssx	A matrix of the simulated summary statistics. The number of rows is the same as the number of simulations per iteration.
loglike	The current log synthetic likelihood. This is computed with function synLikeMisspec with the current gamma value.
gamma	The additional latent parameter to account for possible incompatability between the model and observed summary statistic. In “BSLmisspec” method, this is updated with a slice sampler \insertCiteNeal2003BSL. The default gamma implies no model misspecification and is equivalent to the standard gaussianSynLike estimator.
tau	Numeric. Scale (or inverse rate) parameter of the exponential prior distribution.
w	Step size for the stepping out in the slice sampler. The default step size is 1.
std	Standard deviation of the columns of ssx. If this is not NULL, it will be used to save computation effort.
maxit	The maximum number of iteration of the stepping out and shrink steps of slice sampler. The default is 1e3.

References

\insertAllCited

See Also

sliceGammaMean for the slice sampler of the mean adjusted target distribution.

BSL documentation built on Nov. 3, 2022, 9:06 a.m.