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Dynare
dynare
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2310f1f6
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2310f1f6
authored
2 years ago
by
Johannes Pfeifer
Committed by
Sébastien Villemot
2 years ago
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manual: add guidance on number of draws in slice sampler
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82bd6829
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@@ -6692,6 +6692,17 @@ block decomposition of the model (see :opt:`block`).
Ratto, and Rossi (2015)*. Note that ``'slice'`` is
incompatible with ``prior_trunc=0``.
Whereas one Metropolis-Hastings iteration requires one
evaluation of the posterior, one slice iteration requires :math:`neval`
evaluations, where as a rule of thumb :math:`neval=7\times npar` with
:math:`npar` denoting the number of estimated parameters. Spending
the same computational budget of :math:`N` posterior evaluations in the
slice sampler then implies setting ``mh_replic=N/neval``.
Note that the slice sampler will typically return less autocorrelated Monte Carlo Markov
Chain draws than the MH-algorithm. Its relative (in)efficiency can be investigated via
the reported inefficiency factors.
.. option:: posterior_sampler_options = (NAME, VALUE, ...)
A list of NAME and VALUE pairs. Can be used to set options for
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