Hastings - Metropolis Algorithm implementation in Mathematica

Nasser M. Abbasi, 04/08/2008

This below is an implementation of the Hastings - Metropolis algorithm.

A simple GUI interface allows the user to specify the number of steps to run the algorithm for. At each step, the current P matrix and the current calculated stationary distribution for this P matrix are shown to help observe the convergence.

Screen shots showing few snap shots of the P matrix as it converges

  1. HTML
  2. pdf
  3. Mathematica notebook