gaussian_pdf {EntropyMCMC} R Documentation

## 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.

[Package EntropyMCMC version 1.0.4 Index]