cov.match.sample | R Documentation |
Generate a sample from a probability distribution with the covariance-matching slice sampling method.
cov.match.sample(target.dist, x0, sample.size, tuning=1,
theta=1, limit=length(x0)*100)
target.dist |
Target distribution; see |
x0 |
Initial coordinates. |
sample.size |
Sample size to draw. |
tuning |
A tuning parameter; corresponds to |
theta |
A factor to scale the crumb standard deviation in
every direction after a proposal is rejected. So, after |
limit |
A limit on the number of log-density evaluations per observation before sampling is aborted. |
This function implements the covariance-matching method of slice
sampling, as described by Thompson and Neal (2010). It can be passed
to compare.samplers
in the samplers
list
argument.
A list with elements X
, evals
, grads
, and
adapt.rate
. adapt.rate
indicates the fraction of
crumb draws that resulted in adaptation. This sampler follows
the calling convention of compare.samplers
.
Thompson, M. B. and Neal, R. M. (2010). Covariance-adaptive slice sampling. Technical Report TR-1002, Dept. of Statistics, University of Toronto.
compare.samplers
,
shrinking.rank.sample
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