Markov Chain Monte Carlo : Metropolis Algorithm, Gibbs Sampling and Some Applications.

Abstract

In this talk, I will start from an example, Genetic Linkage Model, to motivate various Markov Chain Monte Carlo (MCMC) methods. In particular, I will use the example to illustrate the use of EM algorithm, Metropolis algorithm, and Metropolis-Hastings Method. I will also discuss their connection with the standard Rejection method in random variate generation. Finally, I will give another example to illustrate the foundation, the procedure and some applications of Gibbs sampling.