On Mon, Aug 27, 2012 at 3:27 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote: > Thanks to all for the helpful references on MCMC. These should > keep me busy! > > There's quite an interesting discussion of the coding of a > Gibbs sampler at > http://darrenjw.wordpress.com/2011/07/16/gibbs-sampler-in-various-languages-revisited/ > along with timings of various implementations (R, C + GSL, > python, etc.). > > I've implemented Darren Wilkinson's test case as a libgretl > program (very fast) and also as a gretl script (much slower > than C, but faster than python and a good deal faster than R). > I'm currently experimenting to see how much of a speed-up > might be available for the hansl version if there were a > suitable dedicated command. >
While you're doing timings, you might be interested to check out Julia, if you haven't. New, fast high-level language that is promising for these kinds of simulations. http://timsalimans.com/gibbs-sampling-with-julia/ http://julialang.org/ Skipper
