exp.gibbs: Gibbs Sampling for Two Truncated Exponential Variables,...

In SMPracticals: Practicals for Use with Davison (2003) Statistical Models

Gibbs Sampling for Two Truncated Exponential Variables, Practical 11.3

Description

Performs Gibbs sampling for problem with two truncated exponential variables. See Practical 11.3 of Davison (2003) for details.

Usage

exp.gibbs(u1 = NULL, u2 = NULL, B, I = 100, S = 100)

Arguments

u1	Initial values for variable 1
u2	Initial values for variable 2
B	Value at which exponential distribution is truncated
I	Number of iterations of sampler
S	Number of replicates of sampler

Details

This is provided simply so that readers spend less time typing. It is not intended to be robust and general code.

Value

A 2 x S x I array containing the values of the variables for the successive iterations

Author(s)

Anthony Davison ([e-mail])

References

Davison, A. C. (2003) Statistical Models. Cambridge University Press.Practical 11.3.

Examples

add.exp.lines <- function( exp.out, i, B=10)
{
  dexp.trunc <- function( u, lambda, B ) 
     dexp(u, rate=lambda)/(1-exp(-lambda*B))
  S <- dim(exp.out)[2]
  I <- dim(exp.out)[3]
  u <- seq(0.0001,B,length=1000)
  fu <- rep(0,1000)
  for (s in 1:S) fu <- fu + dexp.trunc(u,exp.out[3-i,s,I],B)/S
  lines(u,fu,col="red")
  invisible()
}
par(mfrow=c(3,2))
B <-10; I <- 15; S <- 500
exp.out <- exp.gibbs(B=B,I=I,S=S)
hist(exp.out[1,,I],prob=TRUE,nclass=15,xlab="u1",ylab="PDF",xlim=c(0,B),ylim=c(0,1))
add.exp.lines(exp.out,1)
hist(exp.out[2,,I],prob=TRUE,nclass=15,xlab="u2",ylab="PDF",xlim=c(0,B),ylim=c(0,1))
add.exp.lines(exp.out,2)

SMPracticals documentation built on May 29, 2024, 12:19 p.m.