ad.propSd: Adaptation of proposal standard deviation

In BaPreStoPro: Bayesian Prediction of Stochastic Processes

Description

Adaptive MCMC: if acceptance rate of the chain is smaller than lower or larger than upper, the proposal standard deviation propSd=exp(l) is adapted with respect to function delta.n, that means, the new proposal standard deviation is equal to exp(l-delta.n(batch)), respectively exp(l+delta.n(batch)).

Usage

ad.propSd(chain, propSd, batch, lower = 0.3, upper = 0.6,
  delta.n = function(n) min(0.05, 1/sqrt(n)))

Arguments

chain	Markov chain
propSd	current proposal standard deviation
batch	number of batch (of chain)
lower	lower bound
upper	upper bound
delta.n	function of batch number

Value

adapted proposal standard deviation

References

Rosenthal, J. S. (2011). Optimal Proposal Distributions and Adaptive MCMC. In: Handbook of Markov Chain Monte Carlo, pp. 93-112.

BaPreStoPro documentation built on May 2, 2019, 3:34 p.m.