ad.propSd {BaPreStoPro} | R Documentation |
Adaptive MCMC: if acceptance rate of the chain is smaller than lower
or larger than upper
,
the proposal standard deviation propSd
=exp(l) is adapted with respect to function delta.n
,
that means, the new proposal standard deviation
is equal to exp(l-delta.n(batch)
), respectively exp(l+delta.n(batch)
).
ad.propSd(chain, propSd, batch, lower = 0.3, upper = 0.6, delta.n = function(n) min(0.05, 1/sqrt(n)))
chain |
Markov chain |
propSd |
current proposal standard deviation |
batch |
number of batch (of chain) |
lower |
lower bound |
upper |
upper bound |
delta.n |
function of batch number |
adapted proposal standard deviation
Rosenthal, J. S. (2011). Optimal Proposal Distributions and Adaptive MCMC. In: Handbook of Markov Chain Monte Carlo, pp. 93-112.