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.

Documentation

Manual: ramcmc.pdf
Vignette: Robust Adaptive Metropolis

Maintainer: Jouni Helske <jouni.helske at jyu.fi>

Author(s): Jouni Helske

Install package and any missing dependencies by running this line in your R console:

install.packages("ramcmc")

Depends
Imports Rcpp(>=0.12.8)
Suggests testthat, knitr
Enhances
Linking to Rcpp, RcppArmadillo
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Package ramcmc
Materials
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Version 0.1.0
Published 2016-11-30
License GPL (>= 2)
BugReports https://github.com/helske/ramcmc/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks ramcmc check results
Package source ramcmc_0.1.0.tar.gz