Markov Chain Monte Carlo Toolkit

Posted: 12 Feb 2014 Last revised: 13 Feb 2014

Date Written: December 31, 2013

Abstract

This working paper contains facts and introductory concepts about Markov Chain Monte Carlo (MCMC) methods and algorithms. The aim is to provide the reader with a general introduction to the MCMC framework.

Keywords: Metropolis, Metropolis-Hastings Sampler, Blockwise Sampler, Component-wise Sampler, Gibbs Sampler, Hybrid Markov Chain Monte Carlo, Hamiltonian MCMC

JEL Classification: C10, C11, C15, C19

Suggested Citation

Dalessandro, Antonio and Dalessandro, Antonio, Markov Chain Monte Carlo Toolkit (December 31, 2013). Available at SSRN: https://ssrn.com/abstract=2394006

Antonio Dalessandro (Contact Author)

UBS AG ( email )

London
United Kingdom

University College London ( email )

Gower Street
London, WC1E 6BT
United Kingdom

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