Statistics 8701 (Geyer, Spring 2003) Homework No. 5

Policy

The policy is the same as the policy for homework number 2.

This assignment is due (initially) ?????

Problem 1

A Markov chain Monte Carlo problem. The problem statement was handed out in class. It is also available here in the form of palatable dog food.

The R package mcmc may also be helpful. The package is available as the tar file

http://www.stat.umn.edu/geyer/8701/package/mcmc_0.2.tar.gz

In order to see whether you might want to use it or not, look at the help for the two functions it contains

• metropolis, which does random-walk Metropolis for an unnormalized density specified by an R function.
• olbm, which does variance estimation by overlapping batch means for an arbitrary vector-valued time series.