The high autocorrelations were caused by the shape of the
posterior distribution, which was a diagonal ridge (approximately
cigar shaped) in (
).
In order to sample more efficiently, the m and
variables
were transformed. An alternative basis
as
outlined in Section
, would allow the routine move
more efficiently through the posterior.
The transformation takes the form of
. Sampling from
allowed much better
mixing for the chains, required less thinning of the results and
so yields faster run times.