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Is it possible to specify a definite number of chains (eg 3 as in WinBugs) or have I missed something here (I do not seem to find that option in the help file).

If this is not possible at the moment, could it be incorporated in a future update?


john moran

HI John,

Your question is a really good one.

There is no automated way to do this and the reason is that when we fit models using MCMC in MLwiN we always first fit the model (or a very similar model) by IGLS. This provides very good starting values and so there is less concern than in WinBUGS (where you have to always manualy specify starting values) about sensitivity to starting values.

However, there are a few models which we can fit in MLwiN using MCMC where it is difficult to estimate sensible starting values by IGLS, in particuar non-hierarchical models (cross-classified, multiple membership and spatial models).

For these models (and any other model you do still want to fit with multiple chains) there is an easy manually way to fit multiple chains.

All you need to do is to fit your model three times where each time you specify a different vector of starting values in the initsb() option.

After fitting each model, use the mcmcsum command (bundled with runmlwin) to retrieve the parameter chains.

You can then save the parameter chains after each model as a separate data sets.

Finnaly append the files together and perform whatever analysis you like on the chains.

Best wishes

George