cPseudoMaRg: Constructs a Correlated Pseudo-Marginal Sampler

The primary function makeCPMSampler() generates a sampler function which performs the correlated pseudo-marginal method of Deligiannidis, Doucet and Pitt (2017) <arXiv:1511.04992>. If the 'rho=' argument of makeCPMSampler() is set to 0, then the generated sampler function performs the original pseudo-marginal method of Andrieu and Roberts (2009) <DOI:10.1214/07-AOS574>. The sampler function is constructed with the user's choice of prior, parameter proposal distribution, and the likelihood approximation scheme. Note that this algorithm is not automatically tuned--each one of these arguments must be carefully chosen.

Package details

AuthorTaylor Brown [aut, cre]
MaintainerTaylor Brown <trb5me@virginia.edu>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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cPseudoMaRg documentation built on Sept. 5, 2021, 5:42 p.m.