The AdMit Package

David David, Lennart Hoogerheide and Herman van Dijk

No EI 2008-17, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and it provides an efficient 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 package, we apply the AdMit methodology to a bivariate bimodal distribution. We describe the use of the functions provided by the package and document the ability and relevance of the methodology to reproduce the shape of non-elliptical distributions.

Keywords: Bayesian; R software; adaptive mixture; importance sampling; independence chain Metropolis-Hasting algorithm; student-t distribution (search for similar items in EconPapers)
Date: 2008-08-21
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Citations: View citations in EconPapers (10)

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