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Topic: sampling from a posterior distribution
Replies: 3   Last Post: Jan 18, 2013 11:54 PM

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Herman Rubin

Posts: 312
Registered: 2/4/10
Re: sampling from a posterior distribution
Posted: Jan 16, 2013 1:15 PM
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On 2013-01-16, majeti dinesh <dinesh.majeti@gmail.com> wrote:
> Hi,

> Does anyone know how to sample mean / covariance etc from a posterior distribution? Does anyone know how to use Metropolis algorithm to do this sampling?

A posterior distribution is a distribution. One should sample
only if there are no better ways, and there usually are better
ways. The Metropolis algorithm is one way of creating samples
with the desired limiting distribution, but estimating errors
from it can be quite difficult; importance sampling instead
is more efficient and is computationally as easy.


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Herman Rubin, Department of Statistics, Purdue University
hrubin@stat.purdue.edu Phone: (765)494-6054 FAX: (765)494-0558



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