EntropyMCMC: MCMC Simulation and Convergence Evaluation using Entropy and Kullback-Leibler Divergence Estimation

Tools for Markov Chain Monte Carlo (MCMC) simulation and performance analysis. Simulate MCMC algorithms including adaptive MCMC, evaluate their convergence rate, and compare candidate MCMC algorithms for a same target density, based on entropy and Kullback-Leibler divergence criteria. MCMC algorithms can be simulated using provided functions, or imported from external codes. This package is based upon work starting with Chauveau, D. and Vandekerkhove, P. (2013) <doi:10.1051/ps/2012004> and next articles.

Package details

AuthorDidier Chauveau [aut, cre], Houssam Alrachid [ctb]
MaintainerDidier Chauveau <[email protected]>
LicenseGPL (>= 3)
Version1.0.4
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("EntropyMCMC")

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EntropyMCMC documentation built on May 2, 2019, 6:43 a.m.