metronorm: Metropolis Normal

In nickpoison/nltsa: Nonlinear Time Series Analysis

Description

Metropolis algorithm for a multivariate normal.

Usage

metronorm(CovProp, CovPi, nbiter, Xinit)

Arguments

CovProp	Proposed normal covariance matrix.
CovPi	Target normal covariance matrix.
nbiter	Number of iterations.
Xinit	Initial value of the algorithm.

Value

X	Sample values, a vector of length nbiter - returned invisibly.

Author(s)

D.S. Stoffer

Examples

u = metronorm(3,1,1000,0)   # univariate standard normal
X = ts(u$X[-(1:500)])
plot(X)
acf(X)
plot(density(X))

nickpoison/nltsa documentation built on May 23, 2019, 4:48 p.m.