Metropolis_OAAT: One-At-A-Time Metropolis sampler

In HydroPortailStats: 'HydroPortail' Statistical Functions

One-At-A-Time Metropolis sampler

Description

Performs nsim iterations of the OAAT Metropolis sampler (simulated vector is updated one component at a time). a.k.a block Metropolis sampler with blocks of length one. Sometimes also called 'Metropolis-within-Gibbs'.

Usage

Metropolis_OAAT(f, x0, nsim, sdjump, ...)

Arguments

f	function, log-pdf of the target distribution
x0	numeric vector, starting point
nsim	integer, number of simulations
sdjump	numeric vector, standard deviation of the Gaussian jump for each component
...	other arguments passed to f

Value

A list with the following components:

x	numeric matrix nsim*length(x0), MCMC simulations
fx	numeric vector, corresponding values f(x)
moverate	numeric vector, move rate associated with each component

Examples

# Bivariate target distribution: beta(0.8,0.4) X exp(1)
f=function(x){stats::dbeta(x[1],0.8,0.4,log=TRUE)+stats::dexp(x[2],log=TRUE)}
x0=c(0.5,2)
sdjump=c(0.5,1)
mcmc=Metropolis_OAAT(f,x0,1000,sdjump)
graphicalpar=par(mfrow=c(1,3))
plot(mcmc$x);hist(mcmc$x[,1]); hist(mcmc$x[,2])
par(graphicalpar)

HydroPortailStats documentation built on Sept. 12, 2024, 9:36 a.m.