Using Peter Hoff's book, A First Course in Bayesian Statistical Methods, I used some of my own data to fit a Hierarchical Bayesian Regression following his example. In his book, he utilized a Gibbs sampler to solve for the posterior distribution $p(\beta_1,...,\beta_m,\theta,\Sigma,\sigma^2|\mathbf{X}_1,...,\mathbf{X}_m,\boldsymbol{y}_1,...,\boldsymbol{y}_m)$ and used as the full conditional distribution for $\sigma^2$:
$\sigma^2 \sim \text{inverse-gamma}([\nu_0 + \sum n_j]/2, [\nu_0 \sigma_0 ^2 + >\text{SSR}]/2)$ where $\text{SSR} = \sum_{j=1}^{m} \sum_{i=1}^{n_j} (y_{i,j} - >\boldsymbol{\beta_j^{T}}\boldsymbol{x_{i,j}} $
I believe I ran the Gibbs sampler exactly as he outlined, using 20000 samples and discarding the first 2000 and got the following trace plot for the variance $\sigma^2$
The problem is that this does not look like an Inverse-Gamma distribution to me. Is it possible to get something that looks like this, despite drawing from an Inverse-Gamma distribution? Thanks!