Dear all,
one short question: Has anyone implemented the "adaptive rejection sampling"
procedure of Gilks and Wild (see W. Gilks and P. Wild (1992). Adaptive
rejection sampling for Gibbs sampling. Applied Statistics, Vol. 41,
337-348)?
I know that there is a program called "ARMS" for R, performing "adaptive
rejection Metropolis sampling", but I would prefer Stata code.
Any help is highly appreciated!
Best wishes,
Thomas
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