Metropolis Hastings

Version 1.0.0.0 (1.9 KB) by Saad Jbabdi
Simple but powerful implementation of the MH algorithm
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Updated 11 Apr 2013

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This is a very simple yet powerful implementation of the Metropolis Hastings algorithm. The function works a bit like Matlab's 'fmincon', but produces samples from the posterior distribution over parameters.
The algorithm assumes the following:
- Gaussian additive noise (variance is integrated out)
- Uniform priors over all parameters (this can easily be changed in the code)

Cite As

Saad Jbabdi (2024). Metropolis Hastings (https://www.mathworks.com/matlabcentral/fileexchange/41231-metropolis-hastings), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.0.0