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Subject:

Normal hierarchical model

From:

Miguel Ángel Negrín <[log in to unmask]>

Reply-To:

Miguel Ángel Negrín <[log in to unmask]>

Date:

Thu, 23 Nov 2006 12:00:48 +0000

Content-Type:

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 text/plain (59 lines)
 ```Dear WinBUGS users, Data consists of a time series of 25 days where the coefficents (lambda, phi) are estimated for each hour. I'm trying to run the next normal hierarchical model model{ for (t in 2:T){ output[t,1:2]~dmnorm(mu[t,1:2],V[1:2,1:2]) mu[t,1]<-lambda[hour[t]]*output[t-1,2]; mu[t,2]<-phi[hour[t]]*output[t-1,2]; } for(j in 1:198){ lambda[j]~dnorm(lambdamean,lambdaprecision) phi[j]~dnorm(phimean,phiprecision) } lambdamean~dnorm(0.5,0.0000001); lambdaprecision~dgamma(1, 0.000001) phimean~dnorm(0.5,0.0000001); phiprecision~dgamma(1, 0.000001) V[1:2,1:2]~dwish(A[,],f1) } The coefficients lambda[hour] are estimated without problems. However, any problem of convergence occurs for the coefficients phi[hour]. The estimation of all the coefficients is the same, and the autocorrelations for any lag are near to 1. If a try to estimate the coeffients each 30 minutes, the problems of convergence occurs in both parameters. I proved varing the thin but the results were the same. Can anybody help me to improve the convergence of the model? Thanks in advance, Miguel -- Miguel A. Negrín Hernández Modulo D. D-4.08 Department of Quantitative Methods Facc. Ciencias Económicas y Empresariales University of Las Palmas de Gran Canaria 35017. Las Palmas de G.C. Spain Tfo.: (+34) 928 45 82 19 Fax: (+34) 928 45 82 25 E-mail: [log in to unmask] ------------------------------------------------------------------- This list is for discussion of modelling issues and the BUGS software. For help with crashes and error messages, first mail [log in to unmask] To mail the BUGS list, mail to [log in to unmask] Before mailing, please check the archive at www.jiscmail.ac.uk/lists/bugs.html Please do not mail attachments to the list. To leave the BUGS list, send LEAVE BUGS to [log in to unmask] If this fails, mail [log in to unmask], NOT the whole list ```

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