MCMC, Particle Filtering, and Programmable Hierarchical Modeling
A system for writing hierarchical statistical models largely
compatible with 'BUGS' and 'JAGS', writing nimbleFunctions to operate
models and do basic R-style math, and compiling both models and
nimbleFunctions via custom- generated C++. 'NIMBLE' includes default
methods for MCMC, particle filtering, Monte Carlo Expectation
Maximization, and some other tools. The nimbleFunction system makes it
easy to do things like implement new MCMC samplers from R, customize
the assignment of samplers to different parts of a model from R, and
compile the new samplers automatically via C++ alongside the samplers
'NIMBLE' provides. 'NIMBLE' extends the 'BUGS'/'JAGS' language by
making it extensible: New distributions and functions can be added,
including as calls to external compiled code. Although most people
think of MCMC as the main goal of the 'BUGS'/'JAGS' language for
writing models, one can use 'NIMBLE' for writing arbitrary other kinds
of model-generic algorithms as well. A full User Manual is available
at .
Problem reports, updates or suggestions for this package should be
reported with
send-pr.
