rust: Ratio-of-Uniforms Simulation with Transformation
Version 1.2.0

Uses the generalised ratio-of-uniforms (RU) method to simulate from univariate and (low-dimensional) multivariate continuous distributions. The user specifies the log-density, up to an additive constant. The RU algorithm is applied after relocation of mode of the density to zero, and the user can choose a tuning parameter r. For details see Wakefield, Gelfand and Smith (1991) , Efficient generation of random variates via the ratio-of-uniforms method, Statistics and Computing (1991) 1, 129-133. A Box-Cox variable transformation can be used to make the input density suitable for the RU method and to improve efficiency. In the multivariate case rotation of axes can also be used to improve efficiency. From version 1.2.0 the 'Rcpp' package can be used to improve efficiency. See the rust website for more information, documentation and examples.

Browse man pages Browse package API and functions Browse package files

AuthorPaul J. Northrop [aut, cre, cph]
Date of publication2017-05-27 16:07:26 UTC
MaintainerPaul J. Northrop <p.northrop@ucl.ac.uk>
LicenseGPL (>= 2)
Version1.2.0
URL http://github.com/paulnorthrop/rust
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("rust")

Man pages

create_log_j_xptr: Create external pointer to a C++ function for log_j
create_phi_to_theta_xptr: Create external pointer to a C++ function for phi_to_theta
create_xptr: Create external pointer to a C++ function for logf
find_lambda: Selecting Box-Cox parameter lambda for general d.
find_lambda_one_d: Selecting Box-Cox parameter lambda in the one-dimensional...
find_lambda_one_d_rcpp: Selecting Box-Cox parameter lambda in the one-dimensional...
find_lambda_rcpp: Selecting Box-Cox parameter lambda for general d using C++...
gpd_init: Initial estimates for Generalized Pareto parameters
gpd_logpost: Generalized Pareto posterior log-density
gpd_sum_stats: Generalized Pareto summary statistics
plot.ru: Plot diagnostics for an ru object
rgpd: Generalized Pareto simulation
ru: Generalized ratio-of-uniforms sampling
ru_rcpp: Generalized ratio-of-uniforms sampling using C++ via Rcpp
rust: rust: Ratio-of-Uniforms Simulation with Transformation
summary.ru: Summarizing ratio-of-uniforms samples

Functions

all_pos Source code
any_naC Source code
any_nonpos Source code
bc_log_j Source code
bc_no_trans Source code
bc_phi_to_theta Source code
box_cox Source code Source code
cpp_a_obj Source code
cpp_a_obj_2 Source code
cpp_find_a Source code
cpp_find_bs Source code
cpp_logf Source code
cpp_logf_rho Source code
cpp_logf_rho_2 Source code
cpp_logf_rho_3 Source code
cpp_logf_rho_4 Source code
cpp_lower_box Source code
cpp_lower_box_2 Source code
cpp_psi_to_phi Source code
cpp_psi_to_phi_0 Source code
cpp_rho_to_psi Source code
cpp_upper_box Source code
cpp_upper_box_2 Source code
create_log_j_xptr Man page Source code
create_log_jac_xptr Source code
create_phi_to_theta_xptr Man page Source code
create_psi_to_phi_xptr Source code
create_trans_xptr Source code
create_xptr Man page Source code
exptrans Source code
find_a Source code
find_bs Source code
find_lambda Man page Source code
find_lambda_one_d Man page Source code
find_lambda_one_d_rcpp Man page Source code
find_lambda_rcpp Man page Source code
gp_phi_to_theta Source code
gpd_init Man page Source code
gpd_loglik Source code
gpd_logpost Man page Source code
gpd_lrs Source code
gpd_mle Source code
gpd_obs_info Source code
gpd_pwm Source code
gpd_sum_stats Man page Source code
grimshaw_gpdmle Source code
init_psi_calc Source code Source code
log_gpd_mdi_prior Source code
log_none_jac Source code
logdN01 Source code
logdgamma Source code
logdlnorm Source code
logdmvnorm Source code
logdnorm2 Source code
loggp Source code
n_grid_fn Source code Source code
neglog Source code
no_naC Source code
no_trans Source code
null_phi_to_theta_xptr Source code
old_logdgamma Source code
onUnload Source code
optim_box_cox Source code Source code
plot.ru Man page Source code
rcpp_apply Source code
rgpd Man page Source code
ru Man page Source code
ru_cpp Source code
ru_cpp_2 Source code
ru_cpp_3 Source code
ru_cpp_4 Source code
ru_rcpp Man page Source code
rust Man page
rust-package Man page
summary.ru Man page Source code
vecpow Source code
vecpower Source code

Files

inst
inst/doc
inst/doc/rust-using-rcpp-vignette.Rmd
inst/doc/rust-vignette.Rmd
inst/doc/rust-using-rcpp-vignette.html
inst/doc/rust-vignette.R
inst/doc/rust-using-rcpp-vignette.R
inst/doc/rust-vignette.html
inst/include
inst/include/rust.h
inst/include/rust_RcppExports.h
tests
tests/testthat.R
tests/testthat
tests/testthat/test_rou.R
src
src/built_in_fns.cpp
src/Makevars
src/user_fns.cpp
src/Makevars.win
src/RcppExports.cpp
NAMESPACE
NEWS.md
R
R/gp_example.R
R/rust.R
R/box_cox_functions.R
R/sample_diagnostics.R
R/ru_sampling.R
R/box_cox_functions_rcpp.R
R/ru_sampling_rcpp.R
R/RcppExports.R
R/zzz.R
vignettes
vignettes/rust-using-rcpp-vignette.Rmd
vignettes/rust-vignette.Rmd
vignettes/rust.bib
vignettes/example_user_fns.cpp
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/rust.Rd
man/find_lambda_one_d_rcpp.Rd
man/create_phi_to_theta_xptr.Rd
man/plot.ru.Rd
man/find_lambda_rcpp.Rd
man/find_lambda_one_d.Rd
man/ru_rcpp.Rd
man/summary.ru.Rd
man/ru.Rd
man/find_lambda.Rd
man/create_xptr.Rd
man/gpd_logpost.Rd
man/create_log_j_xptr.Rd
man/gpd_init.Rd
man/gpd_sum_stats.Rd
man/rgpd.Rd
tools
tools/rust_logo.png
rust documentation built on May 29, 2017, 5:32 p.m.