[R] sampling from Laplace-Normal

From: Armin Meier <axionator_at_gmail.com>
Date: Sat, 01 Nov 2008 12:45:21 +0100


Hi,
I have to draw samples from an asymmetric-Laplace-Normal distribution: f(u|y, x, beta, phi, sigma, tau) \propto exp( - sum( ( abs(lo) + (2*tau-1)*lo )/(2*sigma) ) - 0.5/phi*u^2), where lo = (y - x*beta) and y=(y_1, ..., y_n), x=(x_1, ..., x_n)
-- sorry for this huge formula --
A WinBUGS Gibbs sampler and the HI package arms sampler were used with the same initial data for all parameters. I compared the mean from both the Gibbs sample and the arms sample for several y and x. Surprisingly, both means always differed by the same constant. Shouldn't the sample means be equal? What could be the reason for the constant difference? (burnin and sample size variation didn't change this)

Thanks in advance
Armin

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