Re: [Bugs-r-devel] R2WinBUGS bug fix

[Andrew G. <ge...@st...>]

I'm confused because bugs has sims.list, sims.matrix, and sims.array, 
but I don't see sims.  In the ?bugs help, it says that "for convenience, 
the 'n.keep * n.chains' simulations in sims.matrix and sims.list (but 
NOT sims.array) have been randomly permuted"

The reason why we scramble the simulations is so we can more easily 
access random draws from the posterior distribution.  We can then just 
use the first 10 simulations or the first 100 or whatever to do 
posterior simulations (see chapter 6 of BDA for various examples).

Checking for convergence--which is the same thing as assessing 
mixing--isn't a problem since we check convergence on the unscrambled 
series that are in sims.array.  You can always use sims.array if you 
want to work with these.

Andrew

Anon. wrote:
> Uwe Ligges wrote:
>> I think this was proposed by Andrew Gelman in the original code and I 
>> already had the discussion but forgot the outcome (people would like 
>> to have it randomized?, Andrew?).
>>
>> Anyway, a fix would be to add drop = FALSE as in
>>
>>    sims <- sims [sample(n.sims), , drop = FALSE] # scramble (for 
>> convenience in analysis)
>>
>>   
> I'm curious - how can you check for convergence if the order is 
> randomised?  I'm thinking of cases where both chains are moving in the 
> same direction towards the part of the posterior with high probability 
> mass.  It also makes mixing more difficult to assess, although this is 
> less critical.
>
> I would certainly prefer not to have this randomised - there are 
> disadvantage, and if you want the results randomise, it's easy to do 
> (hey, it's one line of code!).  OTOH, if it's already randomised, it's 
> difficult to impossible to unscramble it.
>
> Bob
>

-- 
Andrew Gelman
Professor, Department of Statistics
Professor, Department of Political Science
Director, Applied Statistics Center
Columbia University, New York
ge...@st...
www.stat.columbia.edu/~gelman

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