It is now (Dec 1, 2008), possible to do MCMC (including updating the
hyperparameters), using inla, for the purpose of comparing the results
with inla. The sampler is the one-block sampler as described in the
GMRF-book by Rue & Held.

Currently, you have to run inla from the terminal, but you can use the
R-interface to generate the files, just turn on the keep... flag.

Run it as

        inla -m mcmc -S 1 Model.ini

'-S 1' is a scaling of the hyperparameters, and lower value gives
higher acept-rate and oposite.

There is a simple function in R, inla.compare.results(), in the R-inla
package, which is handy to use if you want to compare the results.


Håvard Rue