Re: [R] Gibbs sampling

From: Mark Leeds <markleeds2_at_gmail.com>
Date: Tue, 05 Apr 2011 12:43:01 -0400

hi liliana: you should read the attached before doing that.

also, unrelated to above ( I think ? ), from experience, there can be problems when you have restrictions on a parameter and then try to use gibbs sampling to get the distribution of that parameter. in a totally different context ( not bivariate normal ) , I tried it using many different approaches
( gibbs, metropolis, admit ) and was never successful. good luck.

On Tue, Apr 5, 2011 at 12:23 PM, Liliana Pacheco < liliana.pacheco24_at_gmail.com> wrote:

> HI R users, perhaps you can help me with this:
>
> I am planning on using the Gibbs sampler for the correlation coefficient of
> a bivariate normal. I have a posterior distribution for rho, besides that,
> the conditional distribution for all the parameters of this posterior
> distribution. The thing is that, since I have to get a sample, size 10000
> for rho, obtain a 95% confidence interval, and repeat this procedure 1000
> times; and repeat this procedure for 50 scenaries, I'n thinking this is
> going to take forever.
>
> Is there a library for making this work faster? I've heard of gibbs.met,
> but
> I don't know if it's going to work or even more, I didn't understand the
> examples.
>
> Thanks!
>
> [[alternative HTML version deleted]]
>
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Received on Tue 05 Apr 2011 - 16:48:26 GMT

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