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If $\text{P}(M|D)$ is posterior, $a$ is the proportionality constant, $\text{P}(M)$ is the prior and $\text{P}(D|M)$ is the likelihood. I have the the prior distribution, and I know the function that can give the likelihood for any input parameter sample. Then the Bayes rule is: $\text{P}(M|D)= a\times\text{P}(M)\times\text{P}(D|M)$.

If I want to sample from $\text{P}(M|D)$ by Gibbs, what is my full conditional distribution? is it $\text{P}(M)\times\text{P}(D|M)$?

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  • $\begingroup$ The "full conditional" that is referred to being sampled in Gibbs sampling is (in your notation) $p(M|D)$; it's a "full conditional" whenever $D$ contains all the variables not in $M$. You can then use Bayes to try to evaluate it in terms of $p(D|M)\times p(M)$. $\endgroup$
    – Glen_b
    Commented Aug 7, 2014 at 23:00

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No, $p(M)p(D\vert M)$ is the product of the likelihood function and the prior, and $a$ is the normalising constant, explained by the (take off your hats please) Bayes' Theorem.

If you want the full conditionals of your model in order to construct a Gibbs sampler, then you need to provide more information about your model. Only few distributional assumptions/ prior choices lead to closed-form conditionals. (See the wikipedia article for a precise description of of the "conditional distributions" required to construct a Gibbs sampler).

In the worst scenario where you cannot obtain closed-form conditionals, you can still construct a Metropolis-within-Gibbs sampler.

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  • $\begingroup$ Thanks Dante. What I know is that each prior is Gaussian with a known mean and sigma. Also I know my Gaussian Likelihood as a complex spline function. I don,t have any other information on the distribution. $\endgroup$
    – Grant Blue
    Commented Aug 7, 2014 at 22:38
  • $\begingroup$ @GrantBlue You need to write down the full model if you want more specific pointers. I am affraid it is very likely you will not have full conditionals. Please, take a look at the Metropolis-within-Gibbs algorithm as an alternative solution. An adaptive version of this is implemented in the 'spBayes' R package. $\endgroup$
    – Dante
    Commented Aug 7, 2014 at 22:42

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