Year: 2015
Type: preprint
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.
Source: arXiv (Cornell University)
Author: Robert, Christian P.
Institution: Université Paris Dauphine-PSL
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4298159693