sample_random_walk: Sample new state from random walk proposal.

In rmcmc: Robust Markov Chain Monte Carlo Methods

Sample new state from random walk proposal.

Description

Sample new state from random walk proposal.

Usage

sample_random_walk(
  state,
  target_distribution,
  scale_and_shape,
  sample_auxiliary = stats::rnorm
)

Arguments

sample_auxiliary

Function which generates a random vector from auxiliary variable distribution.

Value

Proposal object. A list with entries

• sample: a function to generate sample from proposal distribution given current chain state,

• log_density_ratio: a function to compute log density ratio for proposal for a given pair of current and proposed chain states,

• update: a function to update parameters of proposal,

• parameters: a function to return list of current parameter values.

• default_target_accept_prob: a function returning the default target acceptance rate to use for any scale adaptation.

• default_initial_scale: a function which given a dimension gives a default value to use for the initial proposal scale parameter.

rmcmc documentation built on April 3, 2025, 5:27 p.m.