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@matsueushi
matsueushi / gaussianrandomwalk.jl
Created April 4, 2019 03:39
GaussianRandomWalk for Mamba
# GaussianRandomWalk for Mamba
# \begin{align*}
# Y_0 &= D,\\
# Y_{i+1} &= Y_i+\mu_i+\epsilon_i,\ \epsilon_i \sim \mbox{Normal}(0, \sigma)\\
# \end{align*}
# Reference:
# Create User-Defined Multivariate Distribution
# https://mambajl.readthedocs.io/en/latest/mcmc/distributions.html#user-defined-univariate-distributions