This is the source code of the Grapham (Graphical models with adaptive random walk Metropolis algorithms), which is directly related to these publications:
- Comput. Stat. Data An. 54(1), 2010 (preprint: arXiv).
- Statist. Comput. 22(5), 2012 (preprint: arXiv)
and which implements a number of other adaptive MCMC algorithms as well. See this page for more details.
See also the newer AdaptiveMCMC.jl Julia-package which implements partly the same algorithms, in a more modular fashion.