>> On Thu, Jul 31, 2008 at 12:28 PM, dlakelan <dlakelan at street-artists.org>
>> wrote:
>>> I may try doing a MCMC sampling method for getting a bayesian
>>> posterior sample from the coefficients. Has anyone done anything
>>> like that in maxima before?
I seem to have missed the start of this conversation, so this may not
be quite what you're looking for (in particular, it wasn't done in
Maxima!), but...
The archive
<http://www.bib.hatton.btinternet.co.uk/dan/Natural_Sciences/PER_CoCu.tar.gz>;
contains (among other things) a GPL'd Perl script, PER_CoCu/main,
which has subroutines for using the Metropolis-Hastings algorithm,
with leapfrog proposal density, to obtain posterior expectations and
standard deviations of model parameters, and a marginal likelihood for
comparing the model with other models. I'm afraid it's a bit untidy
and not very user-friendly, but you might be able to do something with
it.
Some explanation of what I was up to in this script, and references to
the literature, can be found in the section of my thesis at
<http://www.bib.hatton.btinternet.co.uk/dan/Natural_Sciences/PER_CoCu/node65.html>;.
Literature citations in shorthand in comments of the script are also
expanded in the bibliography of that thesis.
--
HTH,
Dan Hatton
<http://www.bib.hatton.btinternet.co.uk/dan/>;