RZigZag: Zig-Zag sampling

Implements the Zig-Zag algorithm (Bierkens, Fearnhead, Roberts, 2016) [https://arxiv.org/abs/1607.03188] and Bouncy Particle Sampler as applied to Bayesian logistic regression, Gaussian target distributions and Student-t distributions.

Installation

Install R packages Rcpp and RcppEigen:

install.packages("Rcpp")
install.packages("RcppEigen")

Then either

1. download one of the .tar.gz files in the RZigZag repository and install RZigZag from the command line using

R CMD INSTALL RZigZag_[version].tar.gz

or 2. (recommended) install from R using

install.packages("RZigZag")

Further documentation

help(RZigZag)