AdMit
Adaptive Mixture of Student-t Distributions
Provides functions to perform the fitting of an adaptive mixture
of Student-t distributions to a target density through its kernel function as described in
Ardia et al. (2009)
Adaptive mixture of Student-t distributions
AdMit (Ardia et al., 2009a) is an R package which provides
flexible functions to approximate a certain target distribution and to efficiently generate a sample of
random draws from it, given only a kernel of the target density function. The core
algorithm fits an adaptive mixture of Student-t distributions to the density of interest, and then,
importance sampling or the independence chain Metropolis-Hastings algorithm is used to obtain
quantities of interest for the target density, using the fitted mixture as the importance or
candidate density. The estimation procedure is fully automatic and thus avoids the
time-consuming and difficult task of tuning a sampling algorithm.
Full description of the algorithm and numerous applications are available in Ardia et al. (2009a) and Ardia et al. (2009b).
Please cite AdMit in publications:
Ardia, D., Hoogerheide, L., van Dijk, H.K. (2009a).
Adaptive mixture of Student-t distributions as a flexible candidate
distribution for efficient simulation: The R package AdMit.
Journal of Statistical Software 29(3), pp.1-32.
http://dx.doi.org/10.18637/jss.v029.i03
Ardia, D., Hoogerheide, L., van Dijk, H.K. (2009b).
AdMit: Adaptive mixture of Student-t distributions.
R Journal 1(1), pp.25-30.
https://journal.R-project.org/archive/2009-1/
News
Changes in Version 2.1.3 o fix doc
Changes in Version 2.1.2 o fix vignette
Changes in Version 2.1.1 o Info added in DESCRIPTION
Changes in Version 2.1.0 o Preparation for new release on CRAN
Changes in Version 2.0.3 o Update information
Changes in Version 2.0.2 o DESCRIPTION file adapted to new standard o Vignette modified
Changes in Version 2.0.1 o Compilation for new version on CRAN o New email address o Package's structure modified o Vignette's PDF compressed o Speedup of examples o New version number format
Changes in Version 1-01.06 o Speedup of computations for the examples
Changes in Version 1-01.05 o The argument names of .C etc were changed in 2.13.0 to start with .NAME (to avoid confusion with names= in ...) for back-compatibility unnamed first argument
Changes in Version 1-01.04 o dMit and rMit modified to account of several degrees of freedom; this allows MitISEM to use these functions
Changes in Version 1-01.03
o documentation file modified o CITATION file modified
Changes in Version 1-01.02
o CITATION file modified
Changes in Version 1-01.01
o change in AdMit.R to deal with convergence problems for simple cases.
o documentation and codes modified according to JSS style.
o creation of /doc folder with AdMitJSS.txt and AdMitRnews.txt files.
o package vignette added (in /doc).
o CITATION file simplified.
o JSS paper accepted for publication.
o Rnews paper accepted for publication.
Changes in Version 1-00.04
o file AdMitJSS.txt containing the code of the JSS paper is part of the package.
o documentation of AdMit enhanced (explanations for KERNEL construction).
o add reference for Gelman-Meng.
o modify references in CITATION.
o new 'demo' code.
o 'coda' package is now Suggests.
Changes in Version 1-00.03
o change the version in the function 'onLoad'.
Changes in Version 1-00.02
o first version released.
Changes in Version 1-00.01
o previous versions were 'under construction' versions.