https://github.com/helske/diagis

Auxiliary functions for importance sampling
https://github.com/helske/diagis

cpp importance-sampling r weighted-samples

Last synced: about 2 months ago
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Auxiliary functions for importance sampling

• Host: GitHub
• URL: https://github.com/helske/diagis
• Owner: helske
• Created: 2016-10-17T12:45:10.000Z (over 9 years ago)
• Default Branch: master
• Last Pushed: 2023-09-04T10:06:30.000Z (almost 3 years ago)
• Last Synced: 2024-10-29T09:18:49.074Z (over 1 year ago)
• Topics: cpp, importance-sampling, r, weighted-samples
• Language: R
• Size: 408 KB
• Stars: 1
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • Changelog: NEWS

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README

          
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diagis: Diagnostic Plot and Multivariate Summary Statistics of Weighted Samples from Importance Sampling

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`diagis` is a small package containing functions relating weighted samples obtained for example from importance sampling. 

The main motivation for developing `diagis` was to enable easy computation of summary statistics and diagnostics of the

weighted MCMC runs provided by [`bssm`](https://github.com/helske/bssm) package for Bayesian state space modelling. For more broader use, the `diagis` package provides functions for computing weighted means, covariances, and quantiles of possibly multivariate samples, the running versions of (some of) these, as well as diagnostic plot function `weight_plot` for graphical diagnostic of weights. Please see vignette for more details.