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The Metropolis—Hastings Algorithm

  • Christian P. Robert
  • George Casella
Part of the Springer Texts in Statistics book series (STS)

Abstract

It was shown in Chapter 3 that it is not necessary to use a sample from the distribution f to approximate the integral
$$ \int {h(x)f(x)dx,} $$
since importance sampling techniques can be used.

Keywords

Markov Chain Random Walk Acceptance Rate Acceptance Probability Markov Chain Monte Carlo Algorithm 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Christian P. Robert
    • 1
    • 2
  • George Casella
    • 3
  1. 1.Laboratoire de StatistiqueCREST-INSEEParis Cedex 14France
  2. 2.Dept. de Mathematique UFR des SciencesUniversite de RouenMont Saint Aignan cedexFrance
  3. 3.Biometrics UnitCornell UniversityIthacaUSA

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