AdaptiveMetropolis[logpdf, x0, size, stepsize, adpfraction, adprate, adpset] generates size udpates starting from x0. Each update is given by the last update of stepsize StudentTMetropolis updating. The target distribution p[x] is provided by logpdf[x] = Log[p[x]], and the symmetric proprosal distribution is the student T distribution. The variance of the proposal distribution is adapted in the initial Floor[size adpfraction] iterations with rate adprate, and the adaptive parameter set adpset. |