Xi'an's Og

Here is an email I got yesterday

Voila ma question: Comment programmer avec le Matlab la fonction de densité a posteriori (n’est pas de type connu qui égale au produit la fonction de vraisemblance et la densité de la loi a priori) pour calculer la valeur de cette fonction en un point theta=x (theta est le paramètre a estimer) en fixant les autres paramètres.

Here is my question: How to program with Matlab the posterior density function (which is not of a well-known type and which equals the product of the likelihood function by the prior density) for calculating the value of this function at a point theta = x (theta is the parameter estimate) while keeping the other parameters fixed.

which is a bit naïve, especially the Matlab part… I answered that the programming issue was kind of straightforward when the computation of both the prior density function and the likelihood function was feasible. (With Matlab or any other language.)

This entry was posted on October 16, 2012 at 8:12 pm and is filed under Books, Statistics, University life with tags email, Gibbs sampling, MCMC. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.