How to define custom distributions in JAGS?

Question

I am using JAGS for simulating some MCMC distributions. I see the support for a sizeable set of distributions. But, I would like to sample out of a specific distribution that is not defiend in JAGS. Does anyone know how to write our own custom distributions?

Thanks!

Answer 1

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

Answer 2

Either the "zeroes trick" or the "ones trick" will do the job for you; see the WinBUGS documentation online for how to set these up. (WinBUGS is, as you almost certainly know, almost identical to JAGS syntatically, with a few exceptions noted in the JAGS documentation and irrelevant to the two tricks above.)

Answer 3

Have you looked into WBDev?

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