adapump                 package:mcsm                 R Documentation

_I_l_l_u_s_t_r_a_t_i_o_n _o_f _t_h_e _d_a_n_g_e_r _o_f _a_d_a_p_t_i_v_e _M_C_M_C _f_o_r _t_h_e _p_u_m_p _f_a_i_l_u_r_e _d_a_t_a

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

       T: Number of steps between updates

      MM: Number of updates, leading to a chain of length 'MM*T'

_V_a_l_u_e:

     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.

_A_u_t_h_o_r(_s):

     Christian P. Robert and George Casella

_R_e_f_e_r_e_n_c_e_s:

     Chapter 8 of *EnteR Monte Carlo Statistical Methods*

_S_e_e _A_l_s_o:

     kscheck

_E_x_a_m_p_l_e_s:

     adapump(T=50,MM=50)

