[ADMB Users] Overdispersed mcmc starting values

Campbell, Alex Alex.Campbell at deedi.qld.gov.au
Mon May 16 20:42:26 PDT 2011

Gelman's convergence statistic is handy, but requires multiple chains
with overdispersed initial values. In principle I just invert the
negative of the hessian and inflate the resulting covariance matrix by
some factor and sample from this multivariate distribution.. 

How do I go about implementing this? Is the hessian stored as a global
variable I can access? And how do I specify initial values for the mcmc
chain? I'm guessing someone has been here before.

Any general convergence diagnostic advice will also be greatly
appreciated :)


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