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driesbenoit / binprobbayes.f90
Last active October 31, 2015 10:57
Speed comparison between R, Julia and Fortran on Bayesian probit regression (see: https://taptoenix.wordpress.com/2015/10/31/speed-comparison-between-r-julia-and-fortran-on-bayesian-probit-regression/)
! Written by Dries F. Benoit
! Faculty of economics and business administration
! Ghent University - BELGIUM
! Draws from the posterior distribution of the Bayesian probit model
! with normal prior on the regression coefficients.
! Algorithm based on:
! Albert and Chib (1993). Bayesian Analysis of Binary and Polychotomous
! Response Data. Journal of the American Statistical Association,