adapump {mcsm}R Documentation

Illustration of the danger of adaptive MCMC for the pump failure data

Description

This function constructs an update of the location and scale matrix of a normal proposal in a Metropolis-Hastings algorithm, based on earlier simulations in order to show the danger of online adaptivity.

Usage

adapump(T = 10^2, MM = 10^2)

Arguments

T Number of steps between updates
MM Number of updates, leading to a chain of length MM*T

Value

The function simply plots the sequence of beta's along iterations, which should collapse, as well as the range of the variability of the proposed values.

Author(s)

Christian P. Robert and George Casella

References

Chapter 8 of EnteR Monte Carlo Statistical Methods

See Also

kscheck

Examples

adapump(T=50,MM=50)

[Package mcsm version 1.0 Index]