> |  My question: Is there any restriction on the size of the vectors which 
> |  I hand from C++ to R? Because during the MCMC simulation the vectors 
> |  might become really big.
> ...
> R 2.16.0 may bring a chance, but for now this is the hard limit.

For more on this:
http://stat.ethz.ch/R-manual/R-devel/doc/html/NEWS.html and scroll down
to the LONG VECTORS section.
Also see: http://developer.r-project.org/216update.txt

Darren


-- 
Darren Cook, Software Researcher/Developer

http://dcook.org/work/ (About me and my work)
http://dcook.org/blogs.html (My blogs and articles)
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