AdMit

MaRDI QIDQ21479swMATHCRANFDO

Authors David Ardia

Last update 21 August 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 2.1.9, 1-00.02, 1-00.04, 1-01.01, 1-01.02, 1-01.03.1, 1-01.03, 1-01.04, 1-01.06, 2.0.1, 2.1.1, 2.1.2, 2.1.3, 2.1.4, 2.1.5, 2.1.6, 2.1.8, PACKAGES.rds, 2.1.12

Official website https://cran.r-project.org/web/packages/AdMit/index.html

Source code repository https://github.com/cran/AdMit

Description

Provides functions to perform the fitting of an adaptive mixture of Student-t distributions to a target density through its kernel function as described in Ardia et al. (2009) <doi:10.18637/jss.v029.i03>. The mixture approximation can then be used as the importance density in importance sampling or as the candidate density in the Metropolis-Hastings algorithm to obtain quantities of interest for the target density itself.

Cites work

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

Cited in

(14)

• rebmix
• Efficient importance sampling in mixture frameworks
• Sequentially adaptive Bayesian learning algorithms for inference and optimization
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• Bayesian inference in a stochastic volatility Nelson-Siegel model
• mixdist
• Svpack
• BhGLM
• CAMAN
• AdaptGauss
• MitISEM
• gets
• GEVStableGarch
• Convergence of Griddy Gibbs sampling and other perturbed Markov chains

This page was built for software: AdMit