qprop: Simulate from Multivariate Normal Density for Metropolis...
In hmclearn: Fit Statistical Models Using Hamiltonian Monte Carlo

Provided for Random Walk Metropolis algorithm

1	qprop(theta1, nu)

`theta1`	Vector of current quantiles
`nu`	Either a single numeric value for the covariance matrix, or a vector for the diagonal

Returns a single numeric simulated value from a Normal distribution or vector of length theta1. length(mu) matrix with one sample in each row.

B. D. Ripley (1987) Stochastic Simulation. Wiley. Page 98

Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.

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s <- replicate(1000, qprop(0, 1))
summary(s)
hist(s, col='light blue')

hmclearn documentation built on Oct. 23, 2020, 8:04 p.m.

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