Stochastic Newton Sampler: The R Package sns

Stochastic Newton Sampler: The R Package sns

The R package sns implements the stochastic Newton sampler (SNS), a MetropolisHastings Markov chain Monte Carlo (MCMC) algorithm where the proposal density function is a multivariate Gaussian based on a local, second-order Taylor-series expansion of log-density. The mean of the proposal function is...

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Bibliographic Details
Main Authors: Alireza S. Mahani, Asad Hasan, Marshall Jiang, Mansour T. A. Sharabiani
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2016-10-01
Series:Journal of Statistical Software
Subjects:
Markov chain Monte Carlo
Metropolis-Hastings
Newton-Raphson optimization
negative-definite hessian
log-concavity
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/2906

Internet

https://www.jstatsoft.org/index.php/jss/article/view/2906

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