Université de Fribourg

The AdMit Package

Ardia, David ; Hoogerheide, Lennart F. ; van Dijk, Herman K.

This short note presents the R package AdMit 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 estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. To illustrate the use of the...

Université de Fribourg

Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit

Ardia, David ; Hoogerheide, Lennart F. ; van Dijk, Herman K.

In: Journal of Statistical Software, 2009, vol. 29, no. 3, p. 1-32

This paper presents the R package AdMit 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 given only a kernel of the target density function. The core algorithm consists of the function AdMit which fits an adaptive mixture of Student-t distributions to the...