[R] Hybrid Monte Carlo algorithm (MCMC)

[Naji]

Hi all,

I'm trying to estimate a nested model (purchase decision, cloglog formula, &
quantity bought given a purchase, truncated Poisson). Some of the parameters
are mixed (6) and 4 are fixed for all the respondent.
The simulated ML (500 simulations) method forwards highly correlated
estimates.
After some research, Hybrid Monte Carlo seems to be a good alternative to
estimate the model. I found neither article nor reference in order to
establish some code.

I would appreciate a good reference describing the algorithm in detail or
some code. Other ideas performing the model estimation are welcome.


I have established the log-likelihood function and its gradient.
Best regards
Naji