Neal, R. M. (2005) ``The short-cut Metropolis method'', Technical Report No. 0506, Dept. of Statistics, University of Toronto, 28 pages: abstract, postscript, pdf.This program is probably useful only for understanding and replicating the tests in the above paper.
The program in written in R (see the R project web site).
First (and probably only) release of 2 August 2005:
As a TAR archive.
Or as the following individual files: README, short-met, short-met-abbrev, test1, test2, test3.