Description Usage Arguments Details Value Note Author(s)
Functions for proposal density evaluation and random generation in MCMC algorithms, in the case where these are Gaussian.
1 2 3 | gaussian_pdf(y, x, param)
gaussian_proposal(x, param)
|
y |
Candidate for next move, a vector of dimension d |
x |
Current position of a chain, a vector of dimension d |
param |
The proposal parameters, that must contains the
d x d variance matrix
in |
The Gaussian proposal density q(y|x) used in, e.g.,
random walk Hastings-Metropolis algorithm RWHM
is the multivariate Gaussian N(x,v) density evaluated at point y.
Similarly, the Gaussian proposal (next move) is a random draw
y ~ N(x,v) when the chain is at position x.
The value of the density, or the random draw, both in dimension d
These functions are calling multivariate Gaussian density and random generation functions imported from the mixtools package (chosen for efficiency) and wrapped in the format required by the EntropyMCMC package.
Didier Chauveau.
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