'AdMit' 1.00-02 is a contributed R package which provides functions to perform the fitting of an adaptive mixture of Student-t distributions to a target density through its kernel function. The mixture approximation can then be used as the importance density in importance sampling or as the candidate density in the Metropolis-Hastings algorithm to obtain quantities of interest for the target density itself. http://cran.at.r-project.org/web/packages/AdMit/index.html
David Ardia H-building, room 11-26 Econometric Institute Erasmus University PO Box 1738 NL 3000 DR Rotterdam The Netherlands Phone: +31 (0)10 408 2269