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st: RE: adaptive rejection sampling

From   "Nick Cox" <>
To   <>
Subject   st: RE: adaptive rejection sampling
Date   Fri, 9 Sep 2005 15:03:27 +0100

This kind of stuff has attracted little interest 
among Stata programmers, indeed much less than 
it deserves. That does not, of course, rule out 
some code existing, but by and large you are 
looking in the wrong direction. 


Thomas Mählmann
> 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.

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