Problem Note 58703: The MCMC procedure might generate incorrect posterior samples for random effects
In PROC MCMC, the posterior samples of random-effects parameters and their hyperparameters are incorrect when all of the following conditions are met:
- The NTRHEADS=n option is specified in the PROC MCMC statement with n >1.
- A RANDOM statement is specified.
- A conjugate sampler is used.
- The hyperparameters depend on a DATA= data set variable whose values change from subject to subject.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS/STAT | z/OS | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| z/OS 64-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft® Windows® for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8 Enterprise 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8 Enterprise x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8 Pro 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8 Pro x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8.1 Enterprise 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8.1 Enterprise x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8.1 Pro 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8.1 Pro x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 10 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2008 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2008 R2 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2008 for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2012 Datacenter | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2012 R2 Datacenter | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2012 R2 Std | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows Server 2012 Std | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Enterprise 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Enterprise x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Home Premium 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Home Premium x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Professional 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Professional x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Ultimate 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Windows 7 Ultimate x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| 64-bit Enabled AIX | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| 64-bit Enabled Solaris | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| HP-UX IPF | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Linux for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Solaris for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
The posterior samples of random-effects parameters in PROC MCMC are wrong under certain conditions.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Bayesian Analysis
SAS Reference ==> Procedures ==> MCMC
|
| Date Modified: | 2017-06-28 11:08:08 |
| Date Created: | 2016-07-29 13:29:40 |
