ad.propSd: Adaptation of proposal standard deviation

Description Usage Arguments Value References

View source: R/helpingFunctions.R

Description

Adaptive MCMC: if acceptance rate of the chain is smaller than lower or larger than upper, the proposal standard deviation propSd=exp(l) is adapted with respect to function delta.n, that means, the new proposal standard deviation is equal to exp(l-delta.n(batch)), respectively exp(l+delta.n(batch)).

Usage

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ad.propSd(chain, propSd, batch, lower = 0.3, upper = 0.6,
  delta.n = function(n) min(0.05, 1/sqrt(n)))

Arguments

chain

Markov chain

propSd

current proposal standard deviation

batch

number of batch (of chain)

lower

lower bound

upper

upper bound

delta.n

function of batch number

Value

adapted proposal standard deviation

References

Rosenthal, J. S. (2011). Optimal Proposal Distributions and Adaptive MCMC. In: Handbook of Markov Chain Monte Carlo, pp. 93-112.


SimoneHermann/BaPreStoPro documentation built on May 10, 2017, 1:42 p.m.