MonteCarloMarkovKernels.jl

Some generic Markov kernels for Monte Carlo
Author awllee
Popularity
1 Star
Updated Last
2 Years Ago
Started In
June 2018

Monte Carlo Markov Kernels

Build Status Build status Coverage Status codecov.io

This package provides some simple Monte Carlo Markov kernel implementations.

Currently implemented:

  • Random walk Metropolis
  • Adaptive Metropolis

To be implemented in the future:

  • Metropolis-adjusted Langevin
  • Hamiltonian Monte Carlo

The package also provides implementations of some consistent asymptotic variance estimators:

  • Batch means
  • Spectral variance

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