proposal {ExtremalDep}R Documentation

Proposal distribution for parametric models

Description

Density of the proposal distribution q(cur.par, prop.par) and random generator of the MCMC algorithm for parametric models.

Usage

	proposal(model, type = c("r", "d"), cur.par, prop.par, MCpar, log = TRUE)

Arguments

model

The parametric model considered. Values can be model="Pairwise", model="Husler", model="Dirichlet", model="Extremalt" and model="Asymmetric" respectively for the Pairwise Beta, Hulser-Reiss, Tilted Dirichlet, Extremal-t and Asymmetric Logistic.

type

One of the character strings "r" or "d" representing random generation and density for the Asymmetric Logistic model.

cur.par

Vector representing the current state of the chain. See Details.

prop.par

Vector representing the candidate parameters. See Details.

MCpar

A list made of a single element: MC MC parameter. Re-centering parameters for the proposal distribution.

log

Logical; Only used if type=="d" in order to obtain the log-density. TRUE is the default.

Details

Value

Either the (log)-density of the proposal prop.par, given cur.par (if type=="d") or a proposal parameter (a vector), if type=="r".

Author(s)

Simone Padoan, simone.padoan@unibocconi.it, https://mypage.unibocconi.it/simonepadoan/; Boris Beranger, borisberanger@gmail.com https://www.borisberanger.com/;

Examples


proposal("Pairwise", "r", rep(1,4), MCpar=0.35)
proposal("Pairwise", "d", rep(1,4), rep(1.2,4), MCpar=0.35)

proposal("Husler", "r", rep(1,4), MCpar=0.35)
proposal("Husler", "d", rep(1,4), c(1.2,4), MCpar=0.35)

proposal("Dirichlet", "r", rep(1,3), MCpar=0.35)
proposal("Dirichlet", "d", rep(1,3), c(1.2,3), MCpar=0.35)

proposal("Extremalt", "r", rep(0.5,3), MCpar=0.35)
proposal("Extremalt", "d", c(rep(0.9,3),3), c(rep(0.8,3),2), MCpar=0.35)

proposal("Asymmetric", "r", c(rep(1.1,4),rep(0.1,9)), MCpar=0.35)
proposal("Asymmetric", "d", c(rep(1.1,4),rep(0.1,9)), c(rep(1.2,4),rep(0.1,9)), 0.35)


[Package ExtremalDep version 0.0.3-5 Index]