ad.propSd

chain

propSd

batch

lower

upper

delta.n


Adaptive MCMC: if acceptance rate of the chain is smaller than <code>lower</code> or larger than <code>upper</code>,
the proposal standard deviation <code>propSd</code>=exp(l) is adapted with respect to function <code>delta.n</code>,
that means, the new proposal standard deviation
is equal to exp(l-<code>delta.n(batch)</code>), respectively exp(l+<code>delta.n(batch)</code>).


Bayesian estimation and prediction for stochastic processes based
on the Euler approximation. Considered processes are: jump diffusion,
(mixed) diffusion models, hidden (mixed) diffusion models, non-homogeneous
Poisson processes (NHPP), (mixed) regression models for comparison and a
regression model including a NHPP.

ad.propSd: Adaptation of proposal standard deviation

Description

Usage

Arguments

Value

References