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tripEstimation (version 0.0-46)

norm.proposal: Manage proposal functions tune variance for metropolis sampler

Description

Generate new proposals for the x from the current. Generates all x at once.

Usage

norm.proposal(m, n, sigma)

mvnorm.proposal(m, n, Sigma)

bmvnorm.proposal(m, n, Sigma)

Value

An list object with get, set and tune functions to manage the state of the proposals.

proposal

propose new set of parameters from last

get

get variance values

set

set variance values

tune

tune the variance for proposal functions

Arguments

m

number of records

n

number of parameters

sigma

variance

Sigma

variance

Author

Simon Wotherspoon

Details

norm.proposal - Independent Normal proposal - every component is independent, with variances of individual components determined by sigma. The recycling rule applies to sigma, so sigma may be a scalar, an m vector or a m by n matrix.

mvnorm.proposal - Multivariate Normal proposal - all components of all points are correlated. In this case Sigma is the joint covariance of the m*n components of the proposal points.

bmvnorm.proposal - Block Multivariate Normal proposal - components of points are correlated, but points are independent. Here Sigma is an array of m covariance matrices that determine the covariance of the m proposal points.