Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - Tinbergen Instituut - 2015
first stage a mixture of Student-<I>t</I> densities is fitted to the target using an expectation maximization (EM) algorithm …This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation … maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel …