Metropolis–Hastings algorithm: Difference between revisions

Revision as of 00:17, 4 January 2006

Revision as of 16:20, 13 February 2006

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</math>

reading <math>Q(x'; x^t)</math> as the probability ofdensity generatingfunction for <math>x'</math> given the previous value <math>x^t</math>.

This proposal density would generate samples centred around the current state with variance <math>\sigma^2 I</math>.