I am using JAGS for simulating some MCMC distributions. I see the support for a sizeable set of distributions. But, I would like to sample out of a specific distribution that is not defiend in JAGS. Does anyone know how to write our own custom distributions?
Thanks!
Either the "zeroes trick" or the "ones trick" will do the job for you; see the WinBUGS documentation online for how to set these up. (WinBUGS is, as you almost certainly know, almost identical to JAGS syntatically, with a few exceptions noted in the JAGS documentation and irrelevant to the two tricks above.)
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