How to define custom distributions in JAGS?

Question

I use JAGS to model some MCMC distributions. I see support for a large set of distributions. But I would like to try from a specific distribution that is not defined in JAGS. Does anyone know how to write our own distributions?

Thanks!

Answer 1

From the newsgroup reviews, it seems that JAGS is better suited for known distributions and the composition of known distributions. Its faster / easier to write your own sampler in R for the rest.

Answer 2

Either the "zero trick" or the "trick" will do the job for you; See the WinBUGS online documentation for how to install them. (WinBUGS, as you almost certainly know, is almost identical to JAGS with the syntax, with a few exceptions noted in the JAGS documentation and not related to the two tricks above).

Answer 3

Have you looked at WBDev?

http://www.winbugs-development.org.uk/