This web page is about an R package for doing simple, but general
MCMC. It does random-walk Metropolis for an arbitrary continuous
distribution on R^{d} specifed by an unnormalized density
computed by a user-supplied R function.

Since version 0.9-3 it has included functions written by Leif Johnson
that implement geometrically ergodic MCMC via parameter transformation.
This was the subject of
a paper in the *Annals of Statistics*.

For more info see the package vignettes

- simple MCMC using the R function
`metrop`

- geometrically ergodic MCMC using the R function
`morph.metrop`

- an example of tempering using the R function
`temper`

, which does both parallel tempering (also called Metropolis-coupled MCMC or (MC)^{3}) and serial tempering (also called simulated tempering).

`metrop`

,
`morph.metrop`

, `temper`

, and `initseq`

,
which computes Monte Carlo standard errors using the initial sequencemethods of Geyer (1992,

Brent Perreault
tells me he has reimplemented the R function `initseq`

in Matlab.
That code is here.

Not just about this package, but made to go with it are the slides for the talk given at the Institute for Mathematics and its Application Sep 16, 2003

In a separate package `potts`

, also
at CRAN (package potts),
is an implementation of the Swendsen-Wang algorithm for Potts models.