The Metropolis-Hastings algorithm
Computation
2016-01-28 v3
Abstract
This short note is a self-contained and basic introduction to the Metropolis-Hastings algorithm, this ubiquitous tool used for producing dependent simulations from an arbitrary distribution. The document illustrates the principles of the methodology on simple examples with R codes and provides references to the recent extensions of the method.
Cite
@article{arxiv.1504.01896,
title = {The Metropolis-Hastings algorithm},
author = {Christian P. Robert},
journal= {arXiv preprint arXiv:1504.01896},
year = {2016}
}
Comments
15 pages, 7 figures, corrections of errors in R code