I published a paper in 2010 in the Journal of Computational and Graphical Statistics titled `Adaptive mixture modelling Metropolis methods for Bayesian analysis of non-linear state-space models' and can be obtained here. In the supplemental material I provided code as well as another example of the use of this method. My goal with adding the code was to allow people to reproduce the example in the paper. I spent a lot of time trying to make sure the code was complete and accurate, but recently I have received several emails/posts from people who have had difficulties running the code. I am setting this post up to log difficulties and solutions.

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31 August 2011