The Metropolis-Hastings algorithm
arXiv:1504.01896
Abstract
This short note is a self-contained and basic introduction to the Metropolis-Hastings algorithm, this ubiquitous tool used for producing dependent simulations from an arbitrary distribution. The document illustrates the principles of the methodology on simple examples with R codes and provides references to the recent extensions of the method.
15 pages, 7 figures, corrections of errors in R code