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Growth Model for tex2html_wrap_inline2833 with Multiplicative Variance

The tex2html_wrap_inline2431 parameter in the growth model has a hyperparameter tex2html_wrap_inline2825 such that the tex2html_wrap_inline2833 are exchangeable with the following distribution for the parameters:

equation1594

The proposal density for the tex2html_wrap_inline2823 is Gaussian, with mean tex2html_wrap_inline2571 and sampler variance tuned for acceptance rate. Thus it is symmetric in tex2html_wrap_inline3423 , that is to say that in this case tex2html_wrap_inline3425 . Thus the acceptance probability reduces to the ratio of products as above:

equation1612

And the prior comes from the above. That is, the product becomes:

equation1621

which can be simplified for computational purposes and by cancellation leaving the following:

  eqnarray1652

The acceptance probability is the minimum of this and 1. As an aside, note that when carrying out such calculations, if tex2html_wrap_inline3427 then tex2html_wrap_inline3429 In this way, one avoids floating point errors which may occur when evaluating the acceptance probability, as they did for this author.



Cathal Walsh
Sat Jan 22 17:09:53 GMT 2000