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)}
, a chain
X(t)X^{(t)}
is generated using a transition kernel with stationary distribution
ff
, which ensures the convergence in distribution of
X(t)X^{(t)}
to a random variable from
ff
.
Some good materials about MCMC.
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