Description Usage Arguments Value Author(s) References
Random Walk Metropolis algorithm
1 |
prior |
A function(N,d) that draws N samples from a d-variate prior distribution. Returns an N-by-d matrix. |
pdf |
A function(prior) that calculates the density of the target distribution for given prior. Returns an N-variate vector. |
t |
|
d |
|
list
with named elements 'chain': a t-by-d matrix of parameter realisations for each iteration
of the Markov chain; and 'density': a t-variate vector of densities computed by pdf
at each iteration
of the Markov chain.
Tobias Pilz tpilz@uni-potsdam.de
Code from 'Algorithm 1' of:
Vrugt, J. A.: "Markov chain Monte Carlo simulation using the DREAM software package: Theory, concepts, and MATLAB implementation." Environmental Modelling & Software, 2016, 75, 273 – 316, http://dx.doi.org/10.1016/j.envsoft.2015.08.013.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.