Bob Carpenter did a great case study on the this topic, for anyone new to it: http://mc-stan.org/users/documentation/case-studies/curse-dims.html http://mc-stan

Bob Carpenter did a great case study on the this topic, for anyone new to it: http://mc-stan.org/users/documentation/case-studies/curse-dims.html http://mc-stan.org/users/documentation/case-studies/curse-di... Check out the graphs, especially of the euclidean distance from the mode of a random point as dimensions increase.