Index

mutable struct AdaptationPathImputation <: eMCMC.Adaptation
    proposed::Int64
    accepted::Int64
    target_accpt_rate::Float64
    adapt_every_k_steps::Int64
    scale::Float64
    min::Float64
    max::Float64
    offset::Float64
end

A struct containing information about the way in which to adapt the memory parameter of the preconditioned Crank–Nicolson scheme. proposed and accepted are the internal counters that keep track of the number of proposed and accepted samples. target_accpt_rate is the acceptance rate of the Metropolis-Hastings steps that is supposed to be targetted. min is used to enforce the minimal allowable range that the random walker can sample from, max enforces the maximum. offset introduces some delay in the start of decelerting the adaptation extent and scale is a scaling parameter for adaptation speed.

GenericMCMCBackend

A flag that no specific backend is passed.

BlockingChequerboardSwitch <: BlockingType

A decorator indicating a switch (in a chequerboard pattern) that changes the locations of delimiters of blocks.

BlockingType <: MCMCUpdateDecorator

Supertype of all blocking patterns.

DiffusionSpecificCallback <: Callback

Supertype of all callbacks specific to diffusion processes.

reset!(adpt::AdaptationPathImputation)

Reset the number of proposals and accepted samples to zero.

init_paths!(P, WW, Wnr, XX, data)

Sample paths of guided proposals without using the preconditioned Crank–Nicolson scheme.

φᶜ(v, θᶜ, t, x, P::S, n=DD.num_non_hypo(S)) where S

Remainder term in the drift after removing φ'θ from it.

acceptance_rate!(adpt::AdaptationPathImputation)

Destructive computation of a current acceptance rate that also resets the number of proposals and accepted samples to zeros.

acceptance_rate(adpt::AdaptationPathImputation)

Compute current acceptance rate of the Metropolis-Hastings update step

readjust!(
    imp::PathImputation, adpt::AdaptationPathImputation, mcmc_iter, i=1
)

Adaptive readjustment for the ith recording of the preconditioned Crank–Nicolson scheme's memory parameter.

register!(updt, adpt::AdaptationPathImputation, accepted::Bool, ::Any)

Register the result of the acceptance decision in the Metropolis-Hastings step.

time_to_update(::Val{true}, adpt::AdaptationPathImputation)

Return true if it's the time to update the memory parameter of the preconditioned Crank–Nicolson scheme.