Question
Consider a model with likelihood function L ( , , ) = P ( d , , ) = i = 1 n P (
Consider a model with likelihood function
L (,,)=P(d,,)=i=1nP(dii,)P(i)
P(dii,)2ie(di)2
P(i,)=e(1+i)
and prior distributions
P()1
P()=e
with fixed . The goal is now to sample from the posterior distribution P(,,d) using a Metropolis-Hastings algorithm in which each parameter gets updated in-turn using symmetric proposal kernels. Note that ,>0 .
Indicate for each of the following statements if it is true or false.
a) The hasting ratio for an update ii is
hi=min(1,iie(ii)[+(di)2])
b) The normal distribution N(0,2) is a possible choice for a symmetric proposal kernel .
c) The R function
q <- function(x,d){return(abs(x + runif(1)*d - d/2));}
constitutes a valid proposal kernel q(i)
d) The log-Hastings ratio for an update is
log(h)=min(0,i[(di)2(di)2]
e) If the acceptance rate of the parameter is around 45%, the variance of the proposal kernel q() should be decreased.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started