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AdaptiveProposal

AdaptiveProposal[isadp, indaccept, adprate, adpset, xls]
gives updated adpset. It calculates the recent accept rate, and the scale and the covariance of proposal distributions with adpative rate adprate if isadp. The xls is a list of random sample x, and the indaccept is the average accept probability of the corresponding prposal list.
AdaptiveProposal[isadp, indacceptls, adprate, adpset, {xls_1, ..}]
gives updated adpset for a set of random variables. It calculates the recent list of accept rates, and the scale and the covariance of proposal distributions with adpative rate adprate if isadp. The xls_i is a list of random sample x_i for i=1,.., and the indaccept is the corresponding list of average accept probabilities.
  • The adpset = {targetratio, r, q, accept, scale, mu, cov} where the accept denotes the accept ratio, the scale measures the width of the proposal distribution and it is used to adjust the accept ratio, and the mu and cov store the mean and covariance.