Metropolis-Hastings algorithm

Metropolis-Hastings algorithm
• What we must be able to do:
– Select a random value from the proposal distribution (to
create θ proposed ).
– Evaluate the target distribution at any proposed position θ (to
calculate P(θ proposed ) / P(θ current ) .
– Select a random value from a uniform distribution (to make a
move according to p move ).
• Can then do something indirectly than can’t necessarily to
directly: generate random samples from the target distribution.
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