Questions tagged [markov-chain-montecarlo]
Markov Chain Monte Carlo (MCMC) refers to a class of methods for generating samples from a target distribution by generating random numbers from a Markov Chain whose stationary distribution is the target distribution. MCMC methods are typically used when more direct methods for random number generation (e.g. inversion method) are infeasible. The first MCMC method was the Metropolis algorithm, later modified to the Metropolis-Hastings algorithm.