Articles by AO

Efficient MCMC with Caching

March 2, 2019 | 0 Comments

This post is part of a running series on Bayesian MCMC tutorials. For updates, follow @StableMarkets. Metropolis Review Metropolis-Hastings is an MCMC algorithm for drawing samples from a distribution known up to a constant of proportionality, $latex p(\theta | y) \propto p(y|\theta)p(\theta)$. Very briefly, the algorithm ... [Read more...]

Bayesian Inference with Backfitting MCMC

May 2, 2018 | 0 Comments

Previous posts in this series on MCMC samplers for Bayesian inference (in order of publication): Bayesian Simple Linear Regression with Gibbs Sampling in R Blocked Gibbs Sampling in R for Bayesian Multiple Linear Regression Metropolis-in-Gibbs Sampling... [Read more...]

Registration Open: Causal Inference and Big Data Summer Institute at UPenn

March 26, 2018 | 0 Comments

https://twitter.com/PennCausal/status/977329657610584064 I wanted to share the news that registration is open for this summer institute (see tweet above for link to registration/schedule). Along with lectures on theory/methods, we will be having interactive R sessions. Attendees will bring their laptops and we'll go through live ... [Read more...]

Speeding up Metropolis-Hastings with Rcpp

March 16, 2018 | 0 Comments

Previous posts in this series on MCMC samplers for Bayesian inference (in order of publication): Bayesian Simple Linear Regression with Gibbs Sampling in R Blocked Gibbs Sampling in R for Bayesian Multiple Linear Regression Metropolis-in-Gibbs Sampling and Runtime Analysis with Profviz The code for all of these posts can be ... [Read more...]

Metropolis-in-Gibbs Sampling and Runtime Analysis with Profviz

November 7, 2017 | 0 Comments

First off, here are the previous posts in my Bayesian sampling series: Bayesian Simple Linear Regression with Gibbs Sampling in R Blocked Gibbs Sampling in R for Bayesian Multiple Linear Regression In the first post, I illustrated Gibbs Sampling - an algorithm for getting draws from a posterior when conditional ...
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Blocked Gibbs Sampling in R for Bayesian Multiple Linear Regression

September 5, 2017 | 0 Comments

In a previous post, I derived and coded a Gibbs sampler in R for estimating a simple linear regression. In this post, I will do the same for multivariate linear regression. I will derive the conditional posterior distributions necessary for the blocked Gibbs sampler. I will then code the sampler ...
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