Daily Archives: September 19, 2008

MCMC: Running a chain, making it look easy

As I was saying in my last post, I’ve been getting interested in actually running Markov Chain Monte Carlo algorithms, instead of trying to prove things about their asymptotic performance. It seems like the “stats” way to do this is to use R and WinBUGS, but I’ve always thought that R programming looks messy. Python is easier on my eyes.

So, it’s my good fortune that PyMC exists. This means I don’t need to do any hard work, like coding a Gibbs sampler or learning R. Let me show you.

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