Mathematica Markov chain Monte Carlo
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README.md

Mathematica Markov Chain Monte Carlo

Mathematica package containing a general-purpose Markov chain Monte Carlo routine I wrote. Includes various examples and documentation.

Features:

  • Convenience wrapper for fitting models to arbitrary-dimensional data with Gaussian errors
  • Handles both real-valued and discrete-valued model parameters
  • Uses Metropolis algorithm with decaying exponential proposal distribution
  • Progress monitor; support for auto save/resume

Files:

  • mcmc.m: Package file
  • mcmc_demonst.nb: Demonstrations and documentation

For a good Python MCMC implementation, check out emcee.