createTrimodalTarget:
Trimodal target distribution
Description
Create the trimodal distribution as in Liang, Liu and Caroll, 2007: Stochastic approximation in Monte Carlo computation.
Usage
createTrimodalTarget()
Value
The function returns an object of class target, with a name, a dimension, a function giving the log density,
a function to generate sample from the distribution, parameters of the distribution, and a function to draw init points for
the MCMC algorithms.
Details
This distribution is a mixture of three bivariate Gaussian distributions. Their covariance matrices are such that
an adaptive MCMC algorithm which proposal variance adapts to one of the component, will likely fail to explore the others.
References
Liang, Liu and Caroll: Stochastic approximation in Monte Carlo computation. Published in JASA, 2007.