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Results tagged with markov-chain-montecarlo
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user 284578
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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Uncertainty and distribution of a percentile
In a Bayesian analysis (Normal case), it is possible to obtain a posterior distribution of the mean and variance. We can also obtain quantiles, median,... of these distributions. My question now is: i …
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