ORIE 7791: Spring 2009 Monte Carlo Methods
نویسنده
چکیده
First, the normalizing denominator in the Bayes’s Rule often has a form of integral which is typically intractable. Second, we often want an estimate of the posterior, for example the mean, the standard deviation, etc. And this estimation can be reduced to calculating integrals of the form. Monte Carlo methods can be applied to this integral computation g(θ)f(θ)λ(dθ) with high-dimensional parameter theta and unevaluated density function f .
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