CAS Exam MAS-II Spring 2019, Question 25
Study guide: Exam MAS-II
You fit the following model:
\begin{align*}
y_i &\sim \text{Normal}(\mu, 4) \\
\mu &\sim \text{Normal}(0, 100)
\end{align*}You propose new values for \mu^{(k)} by generating a random value from the following proposal distribution:
\mu^* \sim \text{Normal}\left(\mu^{(k-1)}, \sigma^2\right)where \mu^{(j)} is the j^{th} value of \mu in your chain. The trace plot of \mu^{(k)} from the above proposal distribution is labeled "First Pass" (after sufficient warm-up). You then re-run the sampling process after changing the proposal distribution to:
\mu^{(k)} \sim \text{Normal}\left(\mu^{(k-1)}, 100\sigma^2\right)Determine which of the plots above is most likely the resulting trace plot with the new proposal distribution.
- A) Plot I
- B) Plot II
- C) Plot III
- D) Plot IV
- E) Plot V
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