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Metropolis Hastings

5.0 | 1 rating Rate this file 11 Downloads (last 30 days) File Size: 1.9 KB File ID: #41231 Version: 1.0
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Metropolis Hastings



Simple but powerful implementation of the MH algorithm

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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)

Required Products MATLAB
MATLAB release MATLAB 7.8 (R2009a)
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Comments and Ratings (1)
08 Sep 2016 Romain

Romain (view profile)

simple can also be very usefull
thanks saad


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