You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
It appears that adaptive metropolis happens (computing sample covariance matrix) in the transformed (unbounded) space. That is, we compute the sample covariance matrix of logit-transformed samples and update the TK with this matrix.
This approach means we have some logit-transform logic that lies outside of the transition kernel and in the sequence generator. If, instead, we do the adaptive metropolis procedure in user-space (on samples that have not been logit-transformed), then one could conceivably hide all the transform logic in the transition kernel instead.
The text was updated successfully, but these errors were encountered:
It appears that adaptive metropolis happens (computing sample covariance matrix) in the transformed (unbounded) space. That is, we compute the sample covariance matrix of logit-transformed samples and update the TK with this matrix.
This approach means we have some logit-transform logic that lies outside of the transition kernel and in the sequence generator. If, instead, we do the adaptive metropolis procedure in user-space (on samples that have not been logit-transformed), then one could conceivably hide all the transform logic in the transition kernel instead.
The text was updated successfully, but these errors were encountered: