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Posted by / 27-Sep-2019 08:45

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For single-dimensional distributions, there are usually other methods (e.g.

adaptive rejection sampling) that can directly return independent samples from the distribution, and these are free from the problem of autocorrelated samples that is inherent in MCMC methods. This paper proposed the algorithm for the case of symmetrical proposal distributions, and W. Hastings extended it to the more general case in 1970.

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