MCMC Simulation and Convergence Evaluation using Entropy and Kullback-Leibler Divergence Estimation
Acceptance ratio for Hastings-Metropolis simulated MCMC chains
Collect MCMC chains in a single object
Random draws for initialization
Internal 'EntropyMCMC' Functions
(A)MCMC Simulation and Convergence Evaluation using Entropy and Kullba...
Kullback and entropy estimation from MCMC simulation output - single a...
Parallel simulation and Entropy estimation of MCMC's - single core and...
Proposal density evaluation and simulation
Parallel simulation of iid copies of a MCMC algorithm - cluster versio...
Simulates iid copies of a MCMC algorithm - multicore version
Simulates iid copies of a MCMC algorithm
Theoretical value of the entropy for the multivariate gaussian
Plot sequences of estimates of Kullback distance or Entropy against it...
Plot paths of copies of Markov chains
Plot sequences of Kullback distance estimates for comparison of severa...
3D plot of a two-dimensional MCMC target, or any function
Simulating MCMC single chains using MCMC algorithms
Summarizes content of a plMCMC object holding iid copies of MCMC's
Tools for Markov Chain Monte Carlo (MCMC) simulation and performance analysis. Simulate MCMC algorithms including adaptive MCMC, evaluate their convergence rate, and compare candidate MCMC algorithms for a same target density, based on entropy and Kullback-Leibler divergence criteria. MCMC algorithms can be simulated using provided functions, or imported from external codes. This package is based upon work starting with Chauveau, D. and Vandekerkhove, P. (2013) <doi:10.1051/ps/2012004> and next articles.