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Results tagged with metropolis-hastings
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user 123353
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.
3
votes
1
answer
390
views
Decision Rule for Random-Walk Metropolis on Log Scale
I need to sample from a non-standard density which is more tractable on the log-scale. Now I was wondering, how the decision rule is restated:
$$ \alpha (x' | x ) = min(1,\frac{\pi(x')}{\pi(x)}) $$ wi …
- 545
1
vote
0
answers
73
views
RW Metropolis and ARMS fail
I've been trying to estimate a series of simulated Gamma-distributed random variables and its structural parameters with MCMC for a stochastic volatility model. However, both the random walk Metropoli …
- 545