マルコフ連鎖モンテカルロ法

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  • マルコフ レンサ モンテカルロ ホウ
  • Markov Chain Monte Carlo Method

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Markov Chain Monte Calro (MCMC) methods have been widely used in recent years in many fields. However, the theoretical results are derived for different setups and assumptions, and it is still difficult to choose which convergence theorem to apply, which diagnostic method for the convergence to use, and so forth. This paper will provide a comprehensive survey of the theoretical literature with respect to the convergence, the rate of convergence, and diagnostic methods for the convergence of MCMC, focusing on Gibbs sampler, substitution sampling, Metropolis-Hastings algorithm.

source:Economic journal of Chiba University

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