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Metropolis Hastings

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Simple but powerful implementation of the MH algorithm

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Description

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)

Required Products MATLAB
MATLAB release MATLAB 7.8 (R2009a)
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