Metropolis-Hastings algorithm

Efficiency, “burn-in”, and convergence
• Even after random walk lkhas meandered dfor a while, can’t be
sure that it’s really exploring the main regions of the target
distribution.
– Especially if target distribution is complex over many dimensions.
– But don’t know what target distribution looks like.
• Various methods available to assess convergence of random
Various methods available to assess convergence of random
walk.