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MCMC
Robert and Casella (2013)
provides the following definition:
For illustration, you can visit the jupyter notebook on
MCMC_example
Working principle: For an arbitrary starting value
x
(
0
)
x^{(0)}
x
(
0
)
, a chain
X
(
t
)
X^{(t)}
X
(
t
)
is generated using a transition kernel with stationary distribution
f
f
f
, which ensures the convergence in distribution of
X
(
t
)
X^{(t)}
X
(
t
)
to a random variable from
f
f
f
.
Some good materials about MCMC.
1.
https://cosx.org/2013/01/lda-math-mcmc-and-gibbs-sampling
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