dirmcmc {dirmcmc}

dirmcmc: A package implementing Directional Metropolis Hastings for MCMC

Description

dirmcmc package provides functions for simulating from a target distribution with known log unnormalized density and its derivative. The derivative information is needed to construct the DMH kernel, which is a generalization of random walk Metropolis Hastings kernel.

dirmcmc functions

metropdir: Implements the dmh algorithm to simulate from a given density.

metropdir.adapt: Adaptive version of DMH algorithm.

iact: Integrated auto correlation times of a univariate chain.

msjd: Mean square jump distance of a multivariate chain.

mcmcdiag: Some summary of diagnostics of a given chain.