This note presents the package AdMit (Ardia et al., 2008, 2009), an R implementation of the adaptive mixture of Student-t distributions (AdMit) procedure developed by Hoogerheide (2006); see also Hoogerheide et al. (2007); Hoogerheide and van Dijk (2008). The AdMit strategy consists of the construction of a mixture of Student-t distributions which approximates a target distribution of interest. The fitting procedure relies only on a kernel of the target density, so that the normalizing constant is not required. In a second step, this approximation is used as an importance function in importance sampling or as a candidate density in the independence chain Metropolis-Hastings (M-H) algorithm to estimate characteristics of the target density. The estimation procedure is fully automatic and thus avoids the difficult task, especially for non-experts, of tuning a sampling algorithm. Typically, the target is a posterior distribution in a Bayesian analysis, where we indeed

AdMit, econometrics, sampling
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David, D, Hoogerheide, L.F, & van Dijk, H.K. (2009). AdMit: adaptive mixtures of student-t distributions. The R Journal, 1(1), 25–30. Retrieved from http://hdl.handle.net/1765/16384