[S] MCMC code

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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