Hello,
I have written a simple Metropolis-Hastings MCMC algorithm for a
binomial parameter:
MHastings = function(n,p0,d){
theta = c()
theta[1] = p0
t =1
while(t<=n){
phi = log(theta[t]/(1-theta[t]))
phisim = phi + rnorm(1,0,d)
thetasim = exp(phisim)/(1+exp(phisim))
r = (thetasim)^4*(1-thetasim)^8/(theta[t]^4*(1-theta[t])^8)
if(runif(1,0,1)<r){
theta[t+1] = thetasim
} else {
theta[t+1] = theta[t]
}
t = t+1
if(t%%1000==0) print(t) # diagnostic
}
data.frame(theta)
}
The problem is that it gradually slows down. It is very fast in the
beginning, but slows down and gets very slow as you reach about 50000
iterations and I need do to plenty more.
I know there are more fancy MCMC routines available, but I am really
just interested in this to work.
Thank you for your help,
Jens Malmros
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