ramcmc: Robust Adaptive Metropolis Algorithm

Function for adapting the shape of the random walk Metropolis proposal as specified by robust adaptive Metropolis algorithm by Vihola (2012) <DOI:10.1007/s11222-011-9269-5>. Package also includes fast functions for rank-one Cholesky update and downdate. These functions can be used directly from R or the corresponding C++ header files can be easily linked to other R packages.

Package details

AuthorJouni Helske
MaintainerJouni Helske <[email protected]>
LicenseGPL (>= 2)
Version0.1.0-1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("ramcmc")

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ramcmc documentation built on May 29, 2018, 5:04 p.m.