MCMC

Hi

Does anyone know of any R coding/functions for MCMC approaches?  I am
currently using BUGS but I wonder if the bazaar has produced anything?  I
think I am pushing BUGS to it's limit and possibly past it at the moment.

I don't think you will find anything as polished as BUGS, but the
components are available for you to write your own custom MCMC program.
You have to do a lot of work by hand that is normally done by BUGS, e.g.
specifying full conditionals, writing the functions for logical
nodes, recognizing conjugate distributions, tuning the Gibbs sampler, etc.

* libnmath contained within R provides plenty of functions for simulating
  random variables from commonly used distributions.  Brian Ripley has
  kindly modified this so that it can be built separately. Using this you
  can handle conjugate distributions.

* Wally Gilks has made publically available software for doing Adaptive
  Rejection Metropolis sampling which can be downloaded from the MRC-BSU
  web site.  Using this you can handle more difficult cases:
  http://www.mrc-bsu.cam.ac.uk/Software/arsregister.shtml
  Some tuning is required for optimal performance.

I have used this approach on a small problem, and have an increased
appreciation of BUGS for having done so.

Martyn
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