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本人在写硕士论文,在winbugs编程中遇到了点问题,
我的程序是这样的,问题是,估计得sigma平方即tau1特别大,为147500.0,vasicek模型为dr=(a+br)dt+sigma*dw
,如果将数据都乘以100,在估计,tau1就会小很多,不知道怎么回事?
model vasicek {
#prior
alpha~dnorm(0,0.1)
beta~dnorm(0,0.1)
itau~dgamma(2.5,2.5)
tau1<-1/itau
#distribution of Xs
Y0<-0.02
gmu[1]<-alpha+beta*Y0
tau[1]<-tau1
X[1]~dnorm(gmu[1],tau[1])
for (i in 2:N){
gmu[i]<-alpha+beta*X[i-1]
tau[i]<-tau1
X[i]~dnorm(gmu[i],tau[i])
}
}
list(N=29, X=c(0.023697144, 0.027387896, 0.028841731, 0.035989362, 0.027313341, 0.029706531, 0.029215191, 0.027326215, 0.024920552, 0.022094169, 0.020817026, 0.023963726, 0.026728683, 0.025907723, 0.027852464, 0.027589989, 0.028622528, 0.027664029, 0.027708915, 0.027774, 0.027095829, 0.027015031, 0.027182125, 0.027843312, 0.027478995, 0.028043001, 0.029419216, 0.031146323, 0.031111416, 0.029596534, 0.032554067, 0.03798773, 0.03373163, 0.040207524, 0.052569411, 0.04050993, 0.047222287, 0.047974705, 0.046209042, 0.048740784, 0.034994114, 0.044549857, 0.04734912, 0.046497651, 0.043060813, 0.041968654, 0.039903947, 0.034961725, 0.031852819, 0.031762815, 0.030871839, 0.02811448, 0.031809796, 0.03152801, 0.028343621, 0.027931447, 0.027748237, 0.02964482, 0.029078494, 0.029471744, 0.03083844, 0.030767871, 0.030036165, 0.027985031, 0.028505502, 0.029163796, 0.029920899, 0.030199585, 0.031265505, 0.033075214, 0.038286301, 0.036303255, 0.038254841, 0.037377035, 0.039147424, 0.040760357, 0.042047618, 0.040731959, 0.04087258, 0.040906935, 0.038742031, 0.039439384, 0.040615824, 0.043487669, 0.042465658, 0.041297515, 0.038337356, 0.030744673, 0.029829821, 0.029551378, 0.028985186, 0.030006397, 0.030767175, 0.030857663, 0.029921039, 0.031276699, 0.032934706, 0.033608071, 0.03434975, 0.035871578, 0.03483317, 0.034917498, 0.033864414, 0.033113364, 0.033126433, 0.031861369, 0.030397663, 0.030822747, 0.03088589, 0.030513956, 0.031645639, 0.035227571, 0.038461096, 0.03795021, 0.03912461, 0.038567873, 0.037863855, 0.037721468, 0.03716745, 0.037652514, 0.039114536, 0.04024439, 0.038254021, 0.037140011, 0.035733568, 0.033846086, 0.033498496, 0.034786421, 0.034358005, 0.034397234, 0.032473802, 0.032305483))
list(alpha=0, beta=0)
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