adaptive: Variance adaptation
In lbelzile/mgp: Multivariate generalized Pareto models
adaptive R Documentation
Variance adaptation
Description
Adapt standard deviation of a proposal for a Markov chain Monte Carlo algorithm, based on the acceptance rate.
The function is targeting an acceptance probability of 0.44 for univariate Metropolis–Hastings proposals, which is
optimal for certain Gaussian regimes. If the number of attempts is large enough and the acceptance rate is not close
to the target, the standard deviation of the proposal will be increased or reduced and the number acceptance and attempts
reinitialized. If no change is made, the components acc will be the same as acceptance and similarly for attempts.
Usage
adaptive(attempts, acceptance, sd.p)
Arguments
attempts
integer indicating number of attempts
acceptance
integer giving the number of moves accepted by the algorithm
sd.p
standard deviation of proposal
Value
a list with components sd, acc, att
lbelzile/mgp documentation built on Aug. 5, 2023, 2:34 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| adaptive | R Documentation |
Variance adaptation
Description
Adapt standard deviation of a proposal for a Markov chain Monte Carlo algorithm, based on the acceptance rate.
The function is targeting an acceptance probability of 0.44 for univariate Metropolis–Hastings proposals, which is
optimal for certain Gaussian regimes. If the number of attempts is large enough and the acceptance rate is not close
to the target, the standard deviation of the proposal will be increased or reduced and the number acceptance and attempts
reinitialized. If no change is made, the components acc will be the same as acceptance and similarly for attempts.
Usage
adaptive(attempts, acceptance, sd.p)
Arguments
attempts |
integer indicating number of attempts |
acceptance |
integer giving the number of moves accepted by the algorithm |
sd.p |
standard deviation of proposal |
Value
a list with components sd, acc, att
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.