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MCMC programming in R, Python, Java and C

April 18, 2015 Leave a comment

Darren Wilkinson's research blog

EDIT 16/7/11 – this post has now been largely superceded by a new post!

MCMC

Markov chain Monte Carlo (MCMC) is a powerful simulation technique for exploring high-dimensional probability distributions. It is particularly useful for exploring posterior probability distributions that arise in Bayesian statistics. Although there are some generic tools (such as WinBugs and JAGS) for doing MCMC, for non-standard problems it is often desirable to code up MCMC algorithms from scratch. It is then natural to wonder what programming languages might be good for this purpose. There are hundreds of programming languages one could in principle use for MCMC programming, but it is necessary to use a language with a good scientific library, including good random number generation routines. I have used a large number of programming languages over the years, but these days I mostly program in R, Python, Java or C. I…

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