Blog Archives

Efficient MCMC with Caching

March 2, 2019
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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 works by starting with some initial draw $latex \theta^{(0)}$ then running … Continue reading Efficient...

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Interactive Tutorial on Dirichlet Processes Using R Shiny

July 24, 2018
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For More posts on Bayesian models, Bayesian Nonparametrics, and causal inference follow me on twitter @stablemarkets. My advisor and his collaborator are teaching a short course on Bayesian Nonparametric Methods for Causal Inference at JSM next week. A...

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Bayesian Inference with Backfitting MCMC

May 2, 2018
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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...

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

March 26, 2018
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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 R examples of things like Estimating treatment effects (matching, propensity score estimation, … Continue reading Registration...

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Speeding up Metropolis-Hastings with Rcpp

March 16, 2018
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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 found in my BayesianTutorials GitHub … Continue reading Speeding...

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Metropolis-in-Gibbs Sampling and Runtime Analysis with Profviz

November 7, 2017
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Metropolis-in-Gibbs Sampling and Runtime Analysis with Profviz

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 posteriors are known. In the … Continue reading Metropolis-in-Gibbs...

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Blocked Gibbs Sampling in R for Bayesian Multiple Linear Regression

September 5, 2017
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Blocked Gibbs Sampling in R for Bayesian Multiple Linear Regression

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 and test it using simulated … Continue reading Blocked...

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