Description Usage Arguments Value References
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)
).
1 2 |
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 |
adapted proposal standard deviation
Rosenthal, J. S. (2011). Optimal Proposal Distributions and Adaptive MCMC. In: Handbook of Markov Chain Monte Carlo, pp. 93-112.
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