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Posted 11-07-2018 04:29 PM
(1868 views)
When I tried to use the code below to run Proc MCMC, I got two warnings:
WARNING: There is still significant autocorrelation after 50 lags, and the effective sample size for the parameter pm_a might not
be estimated accurately.
WARNING: There is still significant autocorrelation after 50 lags, and the effective sample size for the parameter pm_b might not
be estimated accurately.
I tried removing "thin=25" or changing the value of thin, I still got these warnings. Any suggestions?
title 'Gamma Survival Model';
ods graphics on;
proc mcmc data=adtte outpost=expsurvout nmc=5025 thin=25 seed=4861
diag=(mcse ess);
ods select PostSumInt TADpanel ess mcse;
parms pm_a = 1.2 pm_b = 200;
prior pm_a ~ gamma(0.01, is=0.01);
prior pm_b ~ gamma(0.1, is=0.001);
llike = (1-cnsr)*logpdf("gamma", aval, pm_a, pm_b) +
cnsr*logsdf("gamma", aval, pm_a, pm_b);
model general(llike);
run;
3 REPLIES 3
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When you have high autocorrelation among the samples, you need to run the chain much longer to obtain a few thousand independent samples. This is what the NMC= option does. Try increasing that
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Thank you. But when I increased nmc=5000000 I still got this same warning.
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Hello,
Did you finally find a solution to this warning?