The multivariate generalized ratio-of-uniforms method | Example: the multivariate normal distribution | Transformation of variable prior to sampling | Relocation of the mode to the origin | Transformations to improve normality and reduce association | Using the code | Example 1: posterior density from a generalized Pareto extreme value analysis | Example 2: log-normal density | Example 3: gamma density | Example 4: normal density | References
Package: rust 1.4.4
rust: Ratio-of-Uniforms Simulation with Transformation
Uses the generalized ratio-of-uniforms (RU) method to simulate from univariate and (low-dimensional) multivariate continuous distributions. The user specifies the log-density, up to an additive constant. The RU algorithm is applied after relocation of mode of the density to zero, and the user can choose a tuning parameter r. For details see Wakefield, Gelfand and Smith (1991) <doi:10.1007/BF01889987>, Efficient generation of random variates via the ratio-of-uniforms method, Statistics and Computing (1991) 1, 129-133. A Box-Cox variable transformation can be used to make the input density suitable for the RU method and to improve efficiency. In the multivariate case rotation of axes can also be used to improve efficiency. From version 1.2.0 the 'Rcpp' package <https://cran.r-project.org/package=Rcpp> can be used to improve efficiency.
Authors:
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rust_1.4.4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
rust/json (API)
| # Install 'rust' in R: |
| install.packages('rust', repos = c('https://paulnorthrop.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/paulnorthrop/rust/issues
Pkgdown/docs site:https://paulnorthrop.github.io
1977bayesian-inferencekindermanmonahanofposterior-samplesratioratio-of-uniformsratio-of-uniforms-methodrcppsimulationtransformationuniformsopenblascpp
Last updated from:c9fda89784. Checks:15 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 118 | ||
| linux-devel-x86_64 | OK | 185 | ||
| source / vignettes | OK | 312 | ||
| linux-release-arm64 | OK | 120 | ||
| linux-release-x86_64 | OK | 143 | ||
| macos-release-arm64 | OK | 113 | ||
| macos-release-x86_64 | OK | 331 | ||
| macos-oldrel-arm64 | OK | 106 | ||
| macos-oldrel-x86_64 | OK | 176 | ||
| windows-devel-arm64 | OK | 220 | ||
| windows-devel-x86_64 | OK | 174 | ||
| windows-release-arm64 | OK | 232 | ||
| windows-release-x86_64 | OK | 123 | ||
| windows-oldrel-x86_64 | OK | 133 | ||
| wasm-release | OK | 106 |
Exports:create_log_j_xptrcreate_phi_to_theta_xptrcreate_xptrfind_lambdafind_lambda_one_dfind_lambda_one_d_rcppfind_lambda_rcppgpd_initgpd_logpostgpd_sum_statsrgpdruru_rcpp
Dependencies:RcppRcppArmadillo
Introducing rust: Ratio-of-Uniforms Simulation with Transformation
Last update: 2024-02-24
Started: 2018-12-16
Rusting Faster: Simulation using Rcpp
Providing a C++ function to ru_rcpp | Examples : ru_rcpp | Standard normal density | Multivariate normal density | Log-normal density after Box-Cox transformation | Generalized Pareto posterior density | Examples : find_lambda_one_d_rcpp and find_lambda_rcpp | Gamma density: example for find_lambda_one_d_rcpp | Generalized Pareto posterior density: example for find_lambda_rcpp | References
Last update: 2024-02-24
Started: 2018-12-16
When can rust be used?
Conditions on $f$ | Unbounded densities | Heavy-tailed densities | Cauchy density | Hierarchical 1-way ANOVA with few groups | Multimodal densities | References
Last update: 2024-02-24
Started: 2018-12-16
