Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Madeleine B. Thompson
Title: Introduction to SamplerCompare
Abstract: SamplerCompare is an R package for comparing the performance of Markov chain Monte Carlo (MCMC) samplers. It samples from a collection of distributions with a collection of MCMC methods over a range of tuning parameters. Then, using log density evaluations per uncorrelated observation as a figure of merit, it generates a grid of plots showing the results of the simulation. It comes with a collection of predefined distributions and samplers and provides R and C interfaces for defining additional ones. It also provides the means to import simulation data generated by external systems. This document provides background on the package and demonstrates the basics of running simulations, visualizing results, and defining distributions and samplers in R.

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Paper: Introduction to SamplerCompare     Download PDF (Downloads: 3221)
SamplerCompare_1.2.1.tar.gz: R source package Download (Downloads: 657; 320KB)
v43i12.R: R example code from the paper Download (Downloads: 705; 1KB)

DOI: 10.18637/jss.v043.i12

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.