Constructs a Correlated Pseudo-Marginal Sampler

The primary function makeCPMSampler() generates a sampler function which performs the correlated pseudo-marginal method of Deligiannidis, Doucet and Pitt (2017) . If the 'rho=' argument of makeCPMSampler() is set to 0, then the generated sampler function performs the original pseudo-marginal method of Andrieu and Roberts (2009) . The sampler function is constructed with the user's choice of prior, parameter proposal distribution, and the likelihood approximation scheme. Note that this algorithm is not automatically tuned--each one of these arguments must be carefully chosen.


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install.packages("cPseudoMaRg")

1.0.1 by Taylor Brown, 23 days ago


Browse source code at https://github.com/cran/cPseudoMaRg


Authors: Taylor Brown [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Suggests knitr, rmarkdown


See at CRAN