Robust Adaptive Metropolis Algorithm

Function for adapting the shape of the random walk Metropolis proposal as specified by robust adaptive Metropolis algorithm by Vihola (2012) . 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.


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Reference manual

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install.packages("ramcmc")

0.1.0-1 by Jouni Helske, 10 months ago


Report a bug at https://github.com/helske/ramcmc/issues


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


Authors: Jouni Helske


Documentation:   PDF Manual  


GPL (>= 2) license


Imports Rcpp

Suggests testthat, knitr

Linking to Rcpp, RcppArmadillo


Imported by SIfEK.

Suggested by bssm.


See at CRAN