use t-distribution as proposal

scheidan · Jan 5, 2018 · 7c27788 · 7c27788
1 parent 586a683
commit 7c27788
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diff --git a/adaptMCMC/NAMESPACE b/adaptMCMC/NAMESPACE
@@ -3,5 +3,5 @@ import(Matrix)
 import(parallel)
 import(coda)
 
-importFrom("stats", "rnorm", "runif")
+importFrom("stats", "rnorm", "runif", "rt")
 importFrom("utils", "setTxtProgressBar", "txtProgressBar")
diff --git a/adaptMCMC/R/Adaptive_MCMC.R b/adaptMCMC/R/Adaptive_MCMC.R
@@ -88,7 +88,7 @@ MCMC <- function(p, n, init, scale=rep(1, length(init)),
     }
 
     ## proposal value
-    U <- rnorm(d)
+    U <- rt(d, df=d)
     X.prop <- c( X[i-1,] + S %*% U )
     names(X.prop) <- names(init)
 

diff --git a/adaptMCMC/man/MCMC.Rd b/adaptMCMC/man/MCMC.Rd
@@ -98,14 +98,14 @@ Statistics and Computing, 22(5), 997-1008. doi:10.1007/s11222-011-9269-5.
 \author{Andreas Scheidegger, \email{andreas.scheidegger@eawag.ch} or
   \email{scheidegger.a@gmail.com}.
 
-  Thanks to David Pleydell and Venelin for spotting errors and providing
+  Thanks to David Pleydell, Venelin, and Umberto Picchini for spotting errors and providing
   improvements.
 }
 
 \note{Due to numerical errors it may happen that the computed
   covariance matrix is not positive definite. In such a case the nearest positive
   definite matrix is calculated with \code{nearPD()}
-  of the package \pkg{Matrix}.
+  from the package \pkg{Matrix}.
 }
 
 \seealso{