package prbnmcn-stats

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in-package search v0.2.0

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Parameters
Signature

prbnmcn-stats
- Stats
  - Binning
  - Combi
  - Emp
    
    Empirical_statistics
    
    Float
    
    Rational
  - Fin
    
    Float
    
    Dist
    
    Rational
    
    Dist
  - Finbij
    
    Make
    
    Elt
    
    S
  - Float_table
  - Gen
    
    Infix
    
    Make
    
    Infix
    
    RNG
    
    Rational
    
    Rational
  - Graph
    
    Dist
    
    Graph_statistics
    
    Tree
    
    Undirected_edge
    
    Vertex_bij
    
    Make
    
    Graph
    
    V
    
    Tree
    
    Undirected_edge
    
    Vertex_bij
  - Int_table
  - Log_space
  - Mh
    
    MH_parameters
    
    Make
    
    X
    
    Make_core_sampling_loop
    
    X
  - Pdfs
  - Specfun
  - Stats_intf
    
    Fin_dist
    
    Gen
    
    Infix
    
    Rational
    
    Graph
    
    V
    
    Stateful_PRNG
  - String_table

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Class type

Metropolis-Hastings functor.

Parameters

module X : MH_parameters

Signature

val mcmc : 
  verbosity:[ `Silent | `Progress | `Trace ] ->
  initial:X.t ->
  burn_in:int ->
  X.t Gen.t Gen.t

mcmc 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.