Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of Econometrics 171 (2012) 2, pp. 101-120
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...