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Results tagged with markov-chain-montecarlo
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user 102017
Markov Chain Monte Carlo (MCMC) refers to a class of simulation methods for generating samples from a complex 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 very first MCMC method was the Metropolis (et al.) algorithm, later expanded by Hastings.
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The Harris recurrence of a stepping-out slice-sampling-within-Gibbs MCMC
I want to use a multistage version of the MCMC here. That is, I want to use a Gibbs sampler to draw from a general joint distribution $p(x_1, x_2, x_3, \ldots)$ with a Gibbs step for each full conditi …
CommunityBot
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4
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slice sampling within a Gibbs sampler
I found two references. This one details the algorithm, but the publicly-available pages that I could see on Google Books don't prove that it works.
@inbook{cruz,
Author = {Cruz, Marcelo G. and P …
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