In the estimation command one can specify the mh_nblocks parameter. What does it really mean? In Metropolis-Hastings simulation, one can do it by separating the variables into several blocks/groups. Is this mh_nblocks parameter related to that, or is it something else?
Thanks.
mh_blocks indicate the number of parallel Metropolis chains that you want. It is only usefull to assess convergency
Best
Michel
Dea Michel:
Thanks for your reply. That was helpful.
I have a few more questions regarding the use of estimation command.
-
From my limited understanding, the Metropolis-Hastings algorithm does not require information on a prior. Given so, is the specification of a prior in estimated_params important for simulating the posterior or for estimating the parameters?
-
Regarding the diagnostic figures produced by the estimation command, in the figure for the univariate diognostic, what are the two lines in the upper panel? I read the paper by Brooks and Gelman (1998), but still could not quite figure out what they were. What are m2 and m3 in the middle and lower panels. I suppose that the answer for the univariate figure is the same for the multivariate figure? Convergence occurs when all curves stabilize, I suppose?
Thanks in advance. Your help is always greatly appreciated.
Tan