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st: RE: adaptive rejection sampling
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.
> 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,
> 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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