Questions tagged [metropolis-hastings]

A special type of Markov Chain Monte Carlo (MCMC) algorithm used to simulate from complex probability distributions. It is validated by Markov chain theory and offers a wide range of possible implementations.

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Sampling from bivariate distribution with known density using MCMC

I tried to simulate from a bivariate density $p(x,y)$ using Metropolis algorithms in R and had no luck. The density can be expressed as $p(y|x)p(x)$, where $p(x)$ is Singh-Maddala distribution $p(x)...
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Minimization of a function by Metropolis-Hastings algorithms

When minimizing a function by general Metropolis-Hastings algorithms, the function is viewed as an unnormalized density of some distribution. (1) As density functions are required to be nonnegative, ...
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Metropolis-Hastings algorithms used in practice

I was reading Christian Robert's Blog today and quite liked the new Metropolis-Hastings algorithm he was discussing. It seemed simple and easy to implement. Whenever I code up MCMC, I tend to stick ...

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