Alternatives to the MCMC method

Knüsel, L. (2003): Alternatives to the MCMC method. Sonderforschungsbereich 386, Discussion Paper 367

Abstract

The Markov Chain Monte Carlo method (MCMC) is often used to generate independent (pseudo) random numbers from a distribution with a density that is known only up to a normalising constant. With the MCMC method it is not necessary to compute the normalising constant (see e.g. Tierney, 1994; Besag, 2000). In this paper we show that the well-known acceptance-rejection algorithm also works with unnormalised densities, and so this algorithm can be used to confirm the results of the MCMC method in simple cases. We present an example with real data.

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Sonderforschungsbereich 386 ; Sonderforschungsbereiche > Sonderforschungsbereich 386
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch