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Jeremie Coullon · Feb 4, 2020

Testing MCMC code: the prior reproduction test

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Markov Chain Monte Carlo (MCMC) is a class of algorithms for sampling from probability distributions. These are very useful algorithms, but it’s easy to go wrong and obtain samples from the wrong probability distribution. What’s more, it won’t be obvious if the sampler fails, so we need ways to check whether it’s working correctly.

Read on /2020/02/04/PriorReproductionTest/

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