IRIS Toolbox Reference Manual

## regen

Regeneration time MCMC Metropolis posterior simulator

#### Syntax

    [Theta,LogPost,AR,Scale,FinalCov] = regen(Pos,NDraw,...)

#### Input arguments

- `Pos` [ poster ] - Initialised posterior simulator object.

- `NDraw` [ numeric ] - Length of the chain not including burn-in.

#### Output arguments

- `Theta` [ numeric ] - MCMC chain with individual parameters in rows.

- `LogPost` [ numeric ] - Vector of log posterior density (up to a constant) in each draw.

- `AR` [ numeric ] - Vector of cumulative acceptance ratios in each draw.

- `Scale` [ numeric ] - Vector of proposal scale factors in each draw.

- `FinalCov` [ numeric ] - Final proposal covariance matrix; the final covariance matrix of the random walk step is `Scale(end)^2*FinalCov`.

#### Options

#### References

1. Brockwell, A.E., and Kadane, J.B., 2004. "Identification of Regeneration Times in MCMC Simulation, with Application to Adaptive Schemes," mimeo, Carnegie Mellon University.

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.