Importance sampling using a t proposal density
Implements importance sampling to compute the posterior mean of a function using a multivariate t proposal density
impsampling(logf,tpar,h,n,data)
logf |
function that defines the logarithm of the density of interest |
tpar |
list of parameters of t proposal density including the mean m, scale matrix var, and degrees of freedom df |
h |
function that defines h(theta) |
n |
number of simulated draws from proposal density |
data |
data and or parameters used in the function logf |
est |
estimate at the posterior mean |
se |
simulation standard error of estimate |
theta |
matrix of simulated draws from proposal density |
wt |
vector of importance sampling weights |
Jim Albert
data(cancermortality) start=c(-7,6) fit=laplace(betabinexch,start,cancermortality) tpar=list(m=fit$mode,var=2*fit$var,df=4) myfunc=function(theta) return(theta[2]) theta=impsampling(betabinexch,tpar,myfunc,1000,cancermortality)
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