gaussian_pdf {EntropyMCMC}

Proposal density evaluation and simulation

Description

Functions for proposal density evaluation and random generation in MCMC algorithms, in the case where these are Gaussian.

Usage

gaussian_pdf(y, x, param)

gaussian_proposal(x, param)

Arguments

y

Candidate for next move, a vector of dimension d

x

Current position of a chain, a vector of dimension d

param

The proposal parameters, that must contains the d\times d variance matrix in param$v.

Details

The Gaussian proposal density q(y|x) used in, e.g., random walk Hastings-Metropolis algorithm RWHM is the multivariate Gaussian N(x,v) density evaluated at point y. Similarly, the Gaussian proposal (next move) is a random draw y \sim N(x,v) when the chain is at position x.

Value

The value of the density, or the random draw, both in dimension d

Note

These functions are calling multivariate Gaussian density and random generation functions imported from the mixtools package (chosen for efficiency) and wrapped in the format required by the EntropyMCMC package.

Author(s)

Didier Chauveau.