Uses the multivariate generalized ratio-of-uniforms method to simulate from a
distribution with log-density logf (up to an additive constant).
logf must be bounded, perhaps after a transformation of variable.
The main functions in the rust package are ru and
ru_rcpp, which implement the generalized ratio-of-uniforms
algorithm. The latter uses the Rcpp package to improve efficiency.
Also provided are two functions,
find_lambda and find_lambda_one_d, that may be
used to set a suitable value for the parameter lambda if Box-Cox
transformation is used prior to simulation.
If ru_rcpp is used the equivalent functions are
find_lambda_rcpp and find_lambda_one_d_rcpp
Basic plot and summary methods are also provided.
See the following package vignettes for information:
Wakefield, J. C., Gelfand, A. E. and Smith, A. F. M. Efficient generation of random variates via the ratio-of-uniforms method. Statistics and Computing (1991) 1, 129-133. doi:10.1007/BF01889987 .
Box, G. and Cox, D. R. (1964) An Analysis of Transformations. Journal of the Royal Statistical Society. Series B (Methodological), 26(2), 211-252.
Eddelbuettel, D. and Francois, R. (2011). Rcpp: Seamless R and C++ Integration. Journal of Statistical Software, 40(8), 1-18. doi:10.18637/jss.v040.i08 .
Eddelbuettel, D. (2013) Seamless R and C++ Integration with Rcpp. Springer, New York. ISBN 978-1-4614-6867-7.
ru and ru_rcpp to perform
ratio-of-uniforms sampling.
summary.ru for summaries of the simulated values
and properties of the ratio-of-uniforms algorithm.
plot.ru for a diagnostic plot.
find_lambda_one_d and
find_lambda_one_d_rcpp to produce (somewhat) automatically
a list for the argument lambda of ru for the
d = 1 case.
find_lambda and find_lambda_rcpp
to produce (somewhat) automatically
a list for the argument lambda of ru for any value of
d.