AMCMC: an R interface for adaptive MCMC

DOI10.1016/j.csda.2007.02.021zbMath1203.62001OpenAlexW1963633650MaRDI QIDQ1020635

Jeffrey S. Rosenthal

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.02.021

zbMATH Keywords

Markov chain Monte Carloadaptive algorithmsstatistical softwareR/C interface

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• R
• WinBUGS
• BUGS
• Mcmcpack
• OpenBUGS
• mcmc

Cites Work

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• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Componentwise adaptation for high dimensional MCMC
• Sampling-Based Approaches to Calculating Marginal Densities
• Data Analysis Using Stein's Estimator and its Generalizations