BAYESPACK: A Collection of Numerical Integration Software for Bayesian Analysis
نویسندگان
چکیده
A software package is described for the numerical evaluation of integrals that arise in Bayesian statistical analysis. Diierent types of transformations that can be user selected to precondition the problem are discussed. These all begin with a standardizing transformation, that can be adaptively constructed, and is followed by a multivariate Normal, multivariate Student's t or split-t transformation. Numerical integration methods that are currently part of the package are Monte-Carlo, quasi Monte-Carlo, sub-region adaptive, stochastic spherical-radial and product Gauss-Hermite and generalized Gauss-Hermite. Illustrative numerical results for examples from Bayesian statistics applications are given.
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