I want to use the rtmvt from the {tmvtnorm} package using the "gibbs"
algorithm but how to i specify the nested function rtmvnorm to use gibbs as
well?
Right now I am using the code:
for (i in 1:g){
for (j in 1:n){
sgamma[,,i,j] = rtmvt(n=50, mean=mu[i,j], sigma[i,j],
df=nu[i], lower=rep(0,2),algorithm="gibbs")
}
}
heres an example of one iteration:
> mu[1,1]
-0.09734357 0.51578628
> sigma[1,1]
[,1] [,2]
[1,] 0.4250681 0.0253649
[2,] 0.0253649 0.4250681
when I run this i get 50 errors saying:
Warning messages:
1: In rtmvnorm.rejection(n, mean, sigma, lower, upper, ...) :
Acceptance rate is very low and rejection sampling becomes inefficient.
Consider using Gibbs sampling.
I have figured out that this is coming from the internal function rtmvnorm
who's default is the rejection algorithm. Is there any way that I can
specify that to be Gibbs as well?
Thanks
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