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 <jouni.helske@iki.fi>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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ramcmc documentation built on May 2, 2019, 9:40 a.m.