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BlockStudentTMetropolis

BlockStudentTMetropolis[logpdf, x0, s, V, n]
generates n updates for a set of conditional indepdent random variables starting from x0. The target distribution p[x] is provided by logpdf[x, indices] = Log[p[x, indices]] for any subset x[[indices]] of x. The symmetric proprosal distribution is the student T distribution with mean being the current value, (co)variance s^2 V, and degree infinity.
  • To use BlockStudentTMetropolis, you first need to load the Metropolis package using Needs["Metropolis`"].
  • Each update is given by {x, logpdf[x], 1/0 (accept/not), Min[1,Metropolis-Hastings ratio]}.