Gibbs sampling
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!
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