rust package implements the multivariate generalized ratio-of-uniforms method of simulating random variates from a d-dimensional continuous distribution. The user specifies (the log of) a positive target function
f that is proportional to the density function of the distribution.
We use the function
ru to simulate a sample of size 1000 from a two-dimensional standard normal distribution with strong positive correlation between the components. Of course, this particular example is purely illustrative: there are better ways to simulate from a multivariate normal distribution.
From version 1.2.0 onwards the faster function
ru_rcpp can be used. See the vignette “Rusting Faster: Simulation using Rcpp” for details.
To get the current released version from CRAN:
vignette("rust-a-vignette", package = "rust") for an overview of the package,
vignette("rust-b-when-to-use-vignette", package = "rust") for guidance on when
rust can be used and
vignette("rust-c-using-rcpp-vignette", package = "rust") for information on how to take advantage of the Rcpp package.