I simulated two data sets of the Weibull distribution with the same initial values. Each data set has 100,000 observations. The first data set was simulated using Proc MCMC. The second data set was simulated by inversing survival function of the Weibull (exp(-(x/scale)**shape)). Then, Proc Lifereg is applied in finding the parameter estimates of the two data sets. The following is the comparison. Apparently, the data simulated by Proc MCMC are not close to the initial values. Could you please let me know what option I need to add to Proc MCMC to improve the results? Thanks you very much. Lee Header 1 Initial Value Proc MCMC Inverse Weibull S. Function Scale 10 11.3552 10.0532 Shape 0.5 0.5457 0.5002 %let shape=0.5; %let scale=10; /* Simulate Weibull data using Proc MCMC */ data null; run; proc mcmc data=null outpost=simout_weibull seed=5678 nmc=100000; parm x 15; logpdf_weibull=logpdf('weibull', x, &shape, &scale); prior x ~ general(logpdf_weibull); model general(0); run; proc lifereg data=simout_weibull; model x=/dist=weibull; quit; /* simulate Weibull using survival function S=exp(-(x/scale)**shape) */ data simout_weibull2; do i=1 to 100000; x=&scale*(-log(ranuni(5678)))**(1/&shape); output; end; keep x; run; proc lifereg data=simout_weibull2; model x=/dist=weibull; quit;
... View more