My colleague from the Université d’Orléans, Didier Chauveau, has just published on CRAN a new R package called EntropyMCMC, which contains convergence assessment tools for MCMC algorithms, based on non-parametric estimates of the Kullback-Leibler divergence between current distribution and target. (A while ago, quite a while ago!, we actually collaborated with a few others on […]
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