Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit

David Ardia, Lennart F. Hoogerheide and Herman van Dijk

Journal of Statistical Software, 2009, vol. 029, issue i03

Abstract: 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. The core algorithm consists of the function AdMit which fits an adaptive mixture of Student-t distributions to the density of interest. 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. The relevance of the package is shown in two examples. The first aims at illustrating in detail the use of the functions provided by the package in a bivariate bimodal distribution. The second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH model fitted to foreign exchange log-returns data. The methodology is compared to standard cases of importance sampling and the Metropolis-Hastings algorithm using a naive candidate and with the Griddy-Gibbs approach.

Date: 2009-01-20
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:029:i03

DOI: 10.18637/jss.v029.i03

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