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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.
Getting started
Browse package contents
Package details |
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| Author | Didier Chauveau [aut, cre], Houssam Alrachid [ctb] |
| Maintainer | Didier Chauveau <didier.chauveau@univ-orleans.fr> |
| License | GPL (>= 3) |
| Version | 1.0.4 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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