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Metropolis Hastings

version 1.0 (1.9 KB) by

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)

Comments and Ratings (1)

Romain

Romain (view profile)

simple can also be very usefull
thanks saad

Romain

MATLAB Release
MATLAB 7.8 (R2009a)

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