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Sampling Correlation Matrices in Bayesian Models with Correlated Latent Variables

Hierarchical model specifications using latent variables are frequently used to reflect correlation structure in data. Motivated by the structure of a Bayesian multivariate probit model, we demonstrate a parameter-extended Metropolis-Hastings algorithm for sampling from the posterior distribution... Full description

1st Person: Zhang, Xiao
Additional Persons: Boscardin, W. John verfasserin; Belin, Thomas R. verfasserin
Source: in Journal of computational and graphical statistics : JCGS : jointly published by the American Statistical Association, the Institute of Mathematical Statistics and the Interface Foundation of North America Vol. 15, No. 4 (2006), p. 880-896
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Type of Publication: Article
Language: English
Published: 2006
Keywords: research-article
Metropolis-Hastings algorithm
Multivariate probit model
Online: Volltext
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