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Latest revision as of 12:42, 7 December 2017

In this exercise you will familiarize yourself with the Method Marko Chain Monte Carlo (Metropolis Hastings algorithm). You should use similar analysis to validate your own MCMC algorithm.

Step 1: Download the demo function made available through Mathworks File Exchange.

  1. https://www.mathworks.com/matlabcentral/fileexchange/34812-metropolis-hastings?focused=5215352&tab=function

Step 2: Run the script metropolis_hastings.m

  1. Note the frequency of generated samples. Which samples are generated more frequently?
  2. Note the fit of the generated histogram and the probability density.

Step 3: Run the script metropolis_hastings2.m. It will take a while to execute.

  1. Note how the algorithm samples a 2D distribution. Note the differences in acceptance rates.
  2. Important. Note the autocorrelation function. How many samples should be discarded and why?
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