Metropolis–Hastings algorithm: Difference between revisions

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Hi Chris, did it change now?
 
This algorithm can draw samples from any [[probability distribution]] P(x), requiring only that the density can be calculated at x. The algorithm generates a set of states x<sup>t</sup> which is a [[Markov chain]] because each state x<sup>t</sup> depends only on the previous state x<sup>t-1</sup>. The algorithm depends on the creation of a ''proposal density'' Q(x<sup>t</sup>;x') which depends on the current state x<sup>t</sup> and which can generate a new proposed sample x'. For example, the proposal density could be a Gaussian centred on the current state x<sup>t</sup>