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dcdflib.f
Makefile
README
cherno.pdf
dcdflib.a
haario.pdf
mcmc.f90
runchain

README

Example of Classical Estimation using MCMC based on 

Chernozhukov, Victor, et Han Hong. « An MCMC approach to classical estimation ». Journal of Econometrics 115, nᵒ 2 (1 août 2003): 293‑346. https://doi.org/10.1016/S0304-4076(03)00100-3.

Implementation of Metropolis-Hastings using the adaptive approach in:

Haario, Heikki, Eero Saksman, et Johanna Tamminen. « An adaptive Metropolis algorithm ». Bernoulli 7, nᵒ 2 (avril 2001): 223‑42.

A probit model of type y(i) = I(x(i)*beta + eps(i)>0), with eps(i)~N(0,1) is simulated. 

The files contained are: 
- dcdflib.f (and a): probability library
- mcmc.f90 : main program
- pdfs of the two papers above. 
- A makefile

The executable is runchain.