MCMC
Robert and Casella (2013) provides the following definition:
For illustration, you can visit the jupyter notebook on MCMC_example
Some good materials about MCMC.
Last updated
Robert and Casella (2013) provides the following definition:
For illustration, you can visit the jupyter notebook on MCMC_example
Some good materials about MCMC.
Last updated
Working principle: For an arbitrary starting value , a chain is generated using a transition kernel with stationary distribution , which ensures the convergence in distribution of to a random variable from .