AGHQ: Adaptive Gauss Hermite Quadrature for Bayesian Inference

This package implements Bayesian inference using Adaptive Gauss-Hermite Quadrature, as specified in our paper Stochastic Convergence Rates and Applications of Adaptive Quadrature in Bayesian Inference with Yanbo Tang and Blair Bilodeau. See also the accompanying vignette, available on arXiv, and the complete code for the examples from that vignette.

You can install the development version from Github:

install.packages('devtools')
devtools::install_github('awstringer1/aghq')

You can also install the stable version from CRAN:

install.packages('aghq')

The two papers linked above give a comprehensive overview of the method, application, and theory.