Add DIME MCMC (!2301) · Merge requests · Dynare / dynare

Gregor Boehl requested to merge gboehl/dynare:master into master Jul 17, 2024

This adds the DIME MCMC algorithm for posterior sampling.

I tried to be rigorous when including all of dynares pre- and post estimation functionallity. I also added the respective documentation, which I hope is self explanatory.

For now I added an experimental parallel option but I think, also in the interest of hssmc sampling, that it would be great to get rid of #1930 (closed) rather soon. Parallel sampling is a big leap forwards for the estimation of DSGE models. I am happy to help!

I am looking forward to your comments.

Add DIME MCMC

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