Title: The Metropolis-Hastings algorithm
Authors: Christian P. Robert
Published: 8th April 2015 (Wednesday) @ 10:13:16
Link: http://arxiv.org/abs/1504.01896v3
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.