AMCMC: An R interface for adaptive MCMC

We describe AMCMC, a software package for running adaptive MCMC algorithms on user-supplied density functions. AMCMC provides the user with an R interface, which in turn calls C programs for faster computations. The user can supply the density and functionals either as R objects, or as auxiliary C files. We describe experiments which illustrate that for fast performance in high dimensions, it is best that the latter option be used.

• Type: Journal
• Year: 2007
• Where: CSDA
• Authors: Jeffrey S. Rosenthal
• Keywords: Adaptive Mcmc, CSDA 2007, Software Package, User-supplied Density Functions