This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and to efficiently generate a sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling algorithm. To illustrate the use of the package, we apply the AdMit methodology to a bivariate bimodal distribution. We describe the use of the functions provided by the package and document the ability and relevance of the methodology to reproduce the shape of non-elliptical distributions.
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Paper provided by Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland in its series DQE Working Papers with number
10.
Length: 6 pages Date of creation: 01 Aug 2008 Date of revision:
07 Jan 2009 Publication status: Published in The R Journal, 2009, vol. 1, no. 1, pp.25--31, URL http://journal.r-project.org/index.h Handle: RePEc:fri:dqewps:wp0010
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