In article <[EMAIL PROTECTED]>,
nicolexz <[EMAIL PROTECTED]> wrote:
>Thank you very much for the information.  I will do further research
>on it.  BTW, how would you do if you happen to run into a similiar
>problem under the setting of univariate t-distributiion?

The procedure I posted depends only on the distribution being unimodal,
so it would work fine for a t distribution.  I hadn't noticed that your
previous question concerned only normal distributions, for which someone
must have worked out a nice special-purpose procedure.

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Radford M. Neal                                       [EMAIL PROTECTED]
Dept. of Statistics and Dept. of Computer Science [EMAIL PROTECTED]
University of Toronto                     http://www.cs.utoronto.ca/~radford
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