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question about the number of mh draws

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question about the number of mh draws

Postby jkh » Sat Sep 12, 2015 8:38 am

I set mh_replic=10000. Acceptance rate happened to be 20%.

Then, I guess that the number of final draws is 2000.

But, actually, the number of draws in "filename_mh_blc.mat" files in metropolis folder is 10000.


Thank you for reply in advance.
jkh
 
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Re: question about the number of mh draws

Postby jpfeifer » Sat Sep 12, 2015 11:36 am

You are misunderstanding the working of the Metropolis-Hastings algorithm. It provides correlated draws from the posterior (see Chib/Greenberg 1995 for a good introduction). When a draw is rejected, the old draw becomes the new draw. That's why there are always as many draws as specified.
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Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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