Stochastic Newton Sampler: The R Package sns
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Stochastic Newton Sampler: The R Package sns
The R package sns implements Stochastic Newton Sampler (SNS), a Metropolis-Hastings Monte Carlo Markov Chain algorithm where the proposal density function is a multivariate Gaussian based on a local, second-order Taylor-series expansion of log-density. The mean of the proposal function is the full Newton step in Newton-Raphson optimization algorithm. Taking advantage of the local, multivariate ...
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ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2016
ISSN: 1548-7660
DOI: 10.18637/jss.v074.c02