Fundamental Concepts of MCMC Methods Proved on Metropolis-Hastings Alghorithm
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Abstract
Monte Carlo Markov Chain methods have been used extensively in Bayesian methods of inference. Metropolis-Hastings algorithm is one of the most known methods in this regards. In this work we will introduce mathematical bases of this algorithms and show why these algorithms work and their outputs are trustable.
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Keywords: Markov Chain; MCMC algorithms; Bayesian computation; Metropolis-Hastings algorithm; Invariant measures
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