[S] MCMC code

kemalbk@vax2.concordia.ca
Mon, 11 May 1998 16:21:13 -0400


Hello S users,

Are you aware of any S+ (or Lispstat, Fortran, C) code for MCMC
computation? I would like to familiarize myself with the computational
details and intricacies of MCMC for various statistical models by examining
the related code.

I have copies of MLwiN and BUGS. I also ran many of the examples in the
BUGS manual. However, before using the mentioned software on other and
possibly more complicated models, I want to learn about the MCMC
methodology, especially in the hierarchical and constrained parameter
contexts. It was a pleasant surprise to run into the S+ code written by Dr.
David Draper accompanying his first draft of "Bayesian Hierarychical
Modelling" (see www.batch.ac.uk./~masdd). The S+ plus code for Hastings and
Metropolis sampling and the related discussion in his book clarified the
fundamental concepts for me. At this point, I would like to move on to
multivariate and hierarchical models where one may be interested in
ordinally constraining some parameters based on prior information. In this
framework, I am particularly interested in the applications of MCMC for the
linear model.

Thank you.
=====================================================
Dr. K. Buyukkurt, Associate Professor
Marketing Department, Faculty of Commerce and Administration
Concordia University, 1450 De Maisonneuve Blvd West
Montreal, Quebec H3G 1M8, Canada
Office: 1 (514) 848 2947, Secretary: 1 (514) 848 2950, Fax: 1 (514) 848 4554
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