Paulo Cerqueira Junior paulocerqueirajr
🎯
gaberoo
/ 1-metropolis.R
Last active
June 25, 2024 18:05
R code to run an **MCMC** chain using a **Metropolis-Hastings** algorithm with a Gaussian proposal distribution. Although there are hundreds of these in various packages, none that I could find returned the likelihood values along with the samples from the posterior distribution. However, if you have these likelihood values, it's very easy to ca…
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| ############################################################################## | |
| # Metropolis-Hastings MCMC | |
| # | |
| # Runs a Metropolis-Hasting MCMC chain for a given likelihood function. | |
| # Proposal steps are sampled from a Gaussian distribution, either in a single | |
| # step or sequentially over the parameter space. | |
| # | |
| # Input: | |
| # theta : starting value of the chain | |
| # lik.fun : likelihood function |