ramcmc: Robust Adaptive Metropolis Algorithm

By Jouni Helske in R Package

June 1, 2020

Function for adapting the shape of the random walk Metropolis proposal as specified by robust adaptive Metropolis algorithm by Vihola (2012) doi:10.1007/s11222-011-9269-5. The package also includes fast functions for rank-one Cholesky update and downdate. These functions can be used directly from R or the corresponding C++ header files can be easily linked to other R packages.

Posted on:
June 1, 2020
Length:
1 minute read, 56 words
Categories:
R Package
Tags:
Markov Chain Monte Carlo
See Also:
Estimating Causal Effects from Panel Data with Dynamic Multivariate Panel Models
Spatio-temporal modeling of co-dynamics of smallpox, measles and pertussis in pre-healthcare Finland
dynamite: An R Package for Dynamic Multivariate Panel Models