[R] MCMC

[Martyn Plummer]

On 16-Mar-00 Prof Brian Ripley wrote:
> 
>> To: Martyn Plummer <plummer at iarc.fr>
>> Cc: John Logsdon <j.logsdon at lancaster.ac.uk>, r-help at stat.math.ethz.ch
>> Subject: Re: [R] MCMC
>> From: Douglas Bates <bates at stat.wisc.edu>
>> Date: 16 Mar 2000 10:17:29 -0600
>> 
>> I don't know of any R code or packages presently available for MCMC.
>> However, it would be a very interesting project to design such code,
>> either for R or for omegahat.  
> 
> I remember raising that at DCS99 in Vienna. I think as a generic
> idea (and even BUGS after several years has quite serious limitations)
> it would be very ambitious. Smaller areas may be more amenable. We are
> currently designing some code for GLMM-type models, and at one
> point Jonathan Myles had some, I believe.

I would be interested to hear your views on the limitations of BUGS.

I would also like to echo your sentiment about the ambitiousness of
the generic approach. Some idea of this can be seen from the speed of
evolution of the BUGS program itself.  I think that although writing
such a program would not be hard, doing it well (very fast, flexible
and extensible) is hard.

I have raised the possibility of an R interface with the BUGS team in
the past. Their response might be paraphrased as "interesting idea but
low priority".

> 
> I think we need to be careful with terminology. S-news gets a posting
> every few months asking for implementations of the EM algorithm (which
> is not an algorithm but an idea).  Similarly, MCMC is an idea, and even
> in its earlier incarnations (my work on simulating marked point
> processes for one, Langevin methods for another) went way beyond what
> one finds in the books that are getting written now.  MCMC != BUGS, and
> different subsets might be appropriate for R packages.

I suppose here we are talking about Bayesian analysis of models specified
by directed acyclic graphs using Gibbs sampling.  Incidentally, I see that
Peter Green put in a plea for this kind of approach in the Omega-models
mailing list, but this didn't seem to generate much discussion.

Martyn
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