(3/6) Markov Chain Monte Carlo (MCMC) and diagnostics
Channel: JOHANNES BUCHNER
Date: 2021-12-02

* Markov Chains
 * stationarity and ergodicity
 * Metropolis algorithm with Gaussian proposal
 * trace plots, posterior distributions
 * autocorrelation
 * diagnosing MCMC chains with cross-chain and within-chain statistics
 * R-hat
 * Limitations of diagnostics 
 * More advanced proposals


Hamiltonian Monte Carlo is presented in the next block!

from Block I: Monte Carlo inference methods
of the course "Practical Inference for Researchers in the Physical Sciences"
https://johannesbuchner.github.io/PracticalInferenceForResearchersInThePhysicalSciencesCourse/
aimed at the graduate and post-graduate level (master, PhD, postdoc)
for physicists, cosmologists, astronomers, etc.
at TU Munich, 2021

Lecturer: Johannes Buchner