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I am just beginning to learn about Metropolis Hastings algorithm and MCMC techniques. I have a basic understanding of Markov chains and stationary distributions and need for the Metropolis Hasting but can someone really break down how MH works ? I believe some clear examples will really help me understand. Thanks !

Jenna Maiz
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  • @Xi'an I was hoping for some simple examples... – Jenna Maiz Dec 16 '15 at 05:50
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    There is an enormous literature on Metropolis Hastings algorithms and introductory textbooks (such as my book [*Introducing Monte Carlo Methods with R*](http://www.amazon.com/gp/product/1441915753?ie=UTF8&tag=chrprobboo-20&linkCode=as2&camp=1789&creative=390957&creativeASIN=1441915753)) contain the most basic examples. You should tell us why those are not meeting your query. The [Wikipedia page](https://en.wikipedia.org/wiki/Metropolis%E2%80%93Hastings_algorithm) is superb as well. – Xi'an Dec 16 '15 at 07:25
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    @Xi'an -- if you're going to link to your own book, under the stackexchange rules you need to identify it as yours. Since you're outside the edit window on comments, I'll add it for you. [If you want to identify it in a different way, the easiest way to proceed is delete the old comment and post a new one) – Glen_b Dec 16 '15 at 07:57
  • Jenna -- The simplest *possible* example is probably unenlightening (since it would be one for which MH would be a waste of time). A very simple example that's more illuminating is probably better. – Glen_b Dec 16 '15 at 07:57
  • @Glen_b That's the same mentality that my professor has...it tends to confuse people who are just trying to learn what the algorithm is about. And I think part of that learning is understanding why a trivial example given is "unenlightening" to begin with. Then it make sense to study some more realistic things... – Jenna Maiz Dec 16 '15 at 16:51
  • I'd suggest the first thing you do is edit your question to more clearly distinguish it from the one it has been marked as a duplicate of. In particular, you would remove the parts that are answered there and focus your question on what is not answered there. If that distinction is made clear it would be likely to reopen. – Glen_b Dec 16 '15 at 22:44

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