prbnmcn-stats
Basic statistics
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Library
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module X : MH_parametersSignature
val mcmc :
verbosity:[ `Silent | `Progress | `Trace ] ->
initial:X.t ->
burn_in:int ->
X.t Gen.t Gen.tmcmc produces a sampler using Make_core_sampling_loop with the added guarantee that, provided the MH_parameters are consistent, the empirical measure will sample from the target measure specified by X.log_weight.
Be warned that the samples obtained from the chain are _not_ independent.The guarantee is that (if the proposal and weight are consistent) the empirical measure will converge in law to the target measure.