I'm an undergrad who is new to MCMCpack and I haven't been able to find an answer to my problem online yet: I'm attempting to run MCMClogit with a Cauchy proper prior but I'm getting the warning "Cannot calculate marginal likelihood with improper prior" (my purposes require the marginal likelihood calculation so I understand that I need to use a proper prior).
I'm trying to simulate the "user-defined independent Cauchy prior with additional args" as specified in the MCMCpack User Manual (p. 76, April 2013 version). My input data has been standardized (mean = 0, sd = 0.5 for non-binary variables, and binary variables with mean of 0 and difference of 1 between upper and lower ends) according to the Gelman 2008 paper on logistic regression (www.stat.columbia.edu/~gelman/research/published/priors11.pdf). When I run the example data set (birthwt) from the User Manual, the logpriorfun works correctly allowing the marginal likelihood to be generated. However, when I try running my data with the logprior fun, I get a warning that the prior is improper. Here is the code I am running: *logpriorfun = function(beta, location,scale){ sum(dcauchy(beta, location, scale, log = TRUE)) }* *> MCMC.2= MCMClogit(DEAD ~ YEARS + MALE + x1 + x2 + x3+ x4 +x5 + x6 + x7 + x8 + x9, tune= 0.65,burnin =500, mcmc=5000, data = dat, marginal.likelihood = "Laplace", user.prior.density=logpriorfun, logfun=TRUE, location = 0, scale=2.5) * *@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ The Metropolis acceptance rate was 0.27418 @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ Warning message: In MCMClogit(DEAD ~ YEARS + MALE + x1 + x2 + x3 + : Cannot calculate marginal likelihood with improper prior* Any advice on how to fix my arguments so it is a proper prior and will allow me to generate a marginal likelihood using the Laplace approximation? Or how should I be coding a Cauchy proper prior? I'm having problems defining the priors. Thanks, B. -- View this message in context: http://r.789695.n4.nabble.com/MCMClogit-Cannot-calculate-marginal-likelihood-with-improper-prior-tp4672561.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.