This function constructs an update of the location and scale matrix of a normal proposal in a Metropolis-Hastings algorithm, based on earlier simulations in order to show the danger of online adaptivity.
adapump(T = 10^2, MM = 10^2)
Number of steps between updates
Number of updates, leading to a chain of length
The function simply plots the sequence of beta's along iterations, which should collapse, as well as the range of the variability of the proposed values.
Christian P. Robert and George Casella
Chapter 8 of EnteR Monte Carlo Statistical Methods
Loading required package: MASS Loading required package: coda
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