Programming the statistical procedures from SAS

Posterior density estimates from OUTPOST= in PROC MCMC

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Occasional Contributor
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Posterior density estimates from OUTPOST= in PROC MCMC

It appears that one must calculate a normalizing constant (in a DATA step for example) for the posterior density estimates given with the OUTPOST= option of PROC MCMC.  In other words the LogPost variable is off by a constant.  The LogPrior density variable seems to be fine.  Am I missing something?

I'm using SAS 9.2 TS Level 2M2.

Thanks,

Jim

SAS Employee
Posts: 2

Posterior density estimates from OUTPOST= in PROC MCMC

Yes, you are correct. The LOGPOST variable is not normalized w.r.t. the parameters. It is simply the sum of the log of the likelihood + prior evaluated at each iteration (drawn of parameters).

Fang Chen

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