Re: [R] sampling from Laplace-Normal

Hi Armin, Laplace-Normal random variables may be generated as the sum of a Normal rv and the difference of two exponential rvs. See Reed, W.J. and Jorgensen, M.A. (2004) The Double Pareto-Lognormal distribution – A new parametric model for size distributions. Communications in Statistics B:

[R] sampling from Laplace-Normal

Hi, I have to draw samples from an asymmetric-Laplace-Normal distribution: f(u|y, x, beta, phi, sigma, tau) \propto exp( - sum( ( abs(lo) + (2*tau-1)*lo )/(2*sigma) ) - 0.5/phi*u^2), where lo = (y - x*beta) and y=(y_1, ..., y_n), x=(x_1, ..., x_n) -- sorry for this huge formula -- A WinBUGS Gibbs s

[R] sampling from Laplace-Normal

Hi, I have to draw samples from an asymmetric-Laplace-Normal distribution: f(u|y, x, beta, phi, sigma, tau) \propto exp( - sum( ( abs(lo) + (2*tau-1)*lo )/(2*sigma) ) - 0.5/phi*u^2), where lo = (y - x*beta) and y=(y_1, ..., y_n), x=(x_1, ..., x_n) -- sorry for this huge formula -- A WinBUGS Gibbs s