The AdMit Package
-
2009
7 pages
adaptive mixture
Student-t distributions
importance sampling
independence chain Metropolis-Hastings algorithm
Bayesian inference
R software
English
This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and to efficiently generate a sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. To illustrate the use of the package, we apply the AdMit methodology to a bivariate bimodal distribution. We describe the use of the functions provided by the package and document the ability and relevance of the methodology to reproduce the shape of non-elliptical distributions.
- Faculty
- Faculté des sciences économiques et sociales et du management
- Department
- Département d'économie quantitative
- Language
-
- English
- Classification
- Economics
- License
- License undefined
- Identifiers
-
- RERO DOC 30836
- Persistent URL
- https://folia.unifr.ch/unifr/documents/302739
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