Markov Chain Monte Carlo Maximum Likelihood.

摘要

Markov chain Monte Carlo (e. g., the Metropolis algorithm and Gibbs sampler) is a general tool for simulation of complex stochastic processes useful in many types of statistical inference. The basics of Markov chain Monte Carlo are reviewed, including choice of algorithms and variance estimation, and some new methods are introduced. The use of Markov chain Monte Carlo for maximum likelihood estimation is explained, and its performance is compared with maximum pseudo likelihood estimation. Markov chain, Monte Carlo, Maximum likelihood, Metropolis algorithm, Gibbs sampler, Variance estimation.