MCMC - Monte-Carlo

​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 fff
, which ensures the convergence in distribution of X(t)X^{(t)}X(t)
 to a random variable from fff
.
Some good materials about MCMC.
1.​https://cosx.org/2013/01/lda-math-mcmc-and-gibbs-sampling​

MC Optimization

MCMC diagnostics

Last modified 3yr ago

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