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.

Author
Jouni Helske
Date of publication
2016-11-30 16:28:53
Maintainer
Jouni Helske <jouni.helske@jyu.fi>
License
GPL (>= 2)
Version
0.1.0

View on CRAN

Man pages

adapt_S
Update the Proposal of RAM Algorithm
chol_downdate
Rank-one Downdate of Cholesky Decomposition
chol_update
Rank-one Update of Cholesky Decomposition

Files in this package

ramcmc
ramcmc/inst
ramcmc/inst/CITATION
ramcmc/inst/doc
ramcmc/inst/doc/ramcmc.html
ramcmc/inst/doc/ramcmc.R
ramcmc/inst/doc/ramcmc.Rmd
ramcmc/inst/include
ramcmc/inst/include/ramcmc.h
ramcmc/tests
ramcmc/tests/test_all.R
ramcmc/tests/testthat
ramcmc/tests/testthat/test-all.R
ramcmc/src
ramcmc/src/Makevars
ramcmc/src/rwrapper.cpp
ramcmc/src/Makevars.win
ramcmc/src/RcppExports.cpp
ramcmc/NAMESPACE
ramcmc/R
ramcmc/R/update.R
ramcmc/R/RcppExports.R
ramcmc/vignettes
ramcmc/vignettes/ramcmc.Rmd
ramcmc/vignettes/ramcmc.bib
ramcmc/MD5
ramcmc/build
ramcmc/build/vignette.rds
ramcmc/DESCRIPTION
ramcmc/man
ramcmc/man/adapt_S.Rd
ramcmc/man/chol_update.Rd
ramcmc/man/chol_downdate.Rd