Article ID Journal Published Year Pages File Type
415495 Computational Statistics & Data Analysis 2007 4 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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