This article is a self-contained introduction to the Metropolis- Hastings algorithm, this ubiquitous tool for producing dependent simula- tions from an arbitrary distribution. The document illustrates the principles of the methodology on simple examples with R codes and provides entries to the recent extensions of the method. The Metropolis-Hastings Algorithm
Document worth reading: “The Metropolis-Hastings Algorithm”
08 Friday Jan 2016
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