7.18 (Link et al., 2002.) A Metropolis-Hastings method rejects candidate values in order to obtain N(0, 1)
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7.18 (Link et al., 2002.) A Metropolis-Hastings method rejects candidate values in order to obtain N(0, 1) random variables. Two sequences of candidate values are illustrated in Figure 7.11. The lighter line results from adding N(0, 100) deviates to the current values; the darker line results from adding N(0, 0.01) deviates to current values. The rejection probabilities are, respectively, 83% and 4%, while the first-order autocorrelations of accepted values are, respectively, 0.86 and 0.97. Discuss the results.
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