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.


Reference manual

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0.1.0-1 by Jouni Helske, a year ago

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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