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https://github.com/dschrempf/mcmc

Markov chain Monte Carlo with Metropolis-Hasting algorithm
https://github.com/dschrempf/mcmc

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Markov chain Monte Carlo with Metropolis-Hasting algorithm

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README

        

# Markov chain Monte Carlo sampler

Sample from a posterior using Markov chain Monte Carlo (MCMC) algorithms.

At the moment, the following algorithms are available:

- Metropolis-Hastings-Green (Geyer, Charles J, 2011);
- Metropolis-coupled Markov chain Monte Carlo (also known as parallel
tempering) (Geyer, Charles J, 1991, Altekar, Gautam and Dwarkadas, Sandhya and Huelsenbeck, John P and Ronquist, Fredrik, 2004);
- Hamilton Monte Carlo proposal (Neal, Radford M, 2011);
- No U-Turn Sampler (NUTS) (Matthew D. Hoffman and Andrew Gelman, 2014).

## Documentation

The [source code](https://hackage.haskell.org/package/mcmc/docs/Mcmc.html) contains detailed documentation about general concepts as well
as specific functions.

## Examples

The Git repository also includes [example MCMC analyses](https://github.com/dschrempf/mcmc/tree/master/mcmc-examples). Build them with
[cabal-install](https://cabal.readthedocs.io/en/latest/cabal-commands.html#) or [Stack](https://docs.haskellstack.org/en/stable/README/).

git clone https://github.com/dschrempf/mcmc.git
cd mcmc
stack build

For example, estimate the [accuracy of an archer](https://github.com/dschrempf/mcmc/blob/master/mcmc-examples/Archery/Archery.hs) with

stack exec archery

For a more involved example, have a look at a [phylogenetic dating project](https://github.com/dschrempf/mcmc-dating).

# References

Altekar, Gautam and Dwarkadas, Sandhya and Huelsenbeck, John P and Ronquist, Fredrik (2004). *Parallel metropolis coupled Markov chain Monte Carlo for Bayesian phylogenetic inference*.

Geyer, Charles J (2011). *{Introduction to Markov Chain Monte Carlo}*, CRC press.

Geyer, Charles J (1991). *Markov chain Monte Carlo maximum likelihood*.

Matthew D. Hoffman and Andrew Gelman (2014). *The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo*.

Neal, Radford M (2011). *{MCMC Using Hamiltonian Dynamics}*, CRC press.