JuliaStats / Klara.jl

MCMC inference in Julia
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Implement AMWG sampler #166

Closed papamarkou closed 6 years ago

papamarkou commented 7 years ago

Implement the adaptive Metropolis-within-Gibbs (AMWG) sampler by Roberts and Rosenthal. This will not be a job in Klara terms, it will be a new sampler (AMWG). AMWG will then be used by the new Gibbs job (if desired) to sample adaptively for some of the multivariate parameters.

List of steps to complete the AMWG sampler: