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Transforming the Variables

The high autocorrelations were caused by the shape of the posterior distribution, which was a diagonal ridge (approximately cigar shaped) in ( tex2html_wrap_inline2997 ).

In order to sample more efficiently, the m and tex2html_wrap_inline2431 variables were transformed. An alternative basis tex2html_wrap_inline3003 as outlined in Section gif, would allow the routine move more efficiently through the posterior.

The transformation takes the form of tex2html_wrap_inline3005 . Sampling from tex2html_wrap_inline3007 allowed much better mixing for the chains, required less thinning of the results and so yields faster run times.



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