Script for Monte carlo method

Hi all,

I have a data set and I would like to impement Markov Chain Monte Carlo method.

Is there any script that I could use for this?

Thank you very much

[James Tursa]

What have you done so far? What specific problems are you having with your code? Can you explain in more detail what this data set is? Have you defined the states of your system and the probabilities of going from one state to another? Etc.

[John D'Errico]

Not sure why there should be a script. It is not really something I'd usually bother to do. If you have a markov process, you might compute long term probabilities, etc., much you can do using mathematics. But direct simulation is of little value. Ok, I think I used a markov chain to predict monopoly probabiities, the odds of landing on any square. But even that was just steady state stuff. I guess the point is, you just write it. Much more depends on what you want to do, than the code itself, as the code is pretty simple.

[Ilias Minas]

I have to implement MCMC method on the following dataset

[2 4 3 1 6 2 2.5 7 10]

The parameters given are the chain length (2000). Standard deviation for the proposal distribution is 0.2 and for the prior distribution mean value is 1.5 and standard deviation is 1.5.

I am new to Matlab and I dont know from where to start

[Image Analyst]

@Ilias Minas You can start here:

MATLAB Academy - Free 2 hour training

and, like I posted before, I have some sample Monte Carlo demos for you below (scroll down). Did you try those? If not, why not?

Answer 1

[Image Analyst]

I don't have Markov examples, but I'm attaching some Monte Carlo simulations, if that helps.