Template-Type: ReDIF-Paper 1.0
Author-Name: David, D.
Author-Name-Last: David
Author-Name-First: David
Author-Name: Hoogerheide, L.F.
Author-Name-Last: Hoogerheide
Author-Name-First: Lennart
Author-Name: van Dijk, H.K.
Author-Name-Last: van Dijk
Author-Name-First: Herman
Author-Person: pva325
Title: The AdMit Package
Abstract: This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and it provides an efficient sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. To illustrate the use of the package, we apply the AdMit methodology to a bivariate bimodal distribution. We describe the use  of the functions provided by the package and document the ability and  relevance of the methodology to reproduce the shape of non-elliptical distributions.
Creation-Date: 2008-08-21
File-URL: https://repub.eur.nl/pub/13053/EI2008-17.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2008-17
Keywords: Bayesian, R software, adaptive mixture, importance sampling, independence chain Metropolis-Hasting algorithm, student-t distribution
Handle: RePEc:ems:eureir:13053