MCMC

Bayesian statistics you’ve likely encountered MCMC. While the remaining of the world is fixated on the newest LLM hype, Markov Chain Monte Carlo stays the quiet workhorse of high-end quantitative finance and risk...

Introduction Parameter estimation has been for a long time one of the crucial necessary topics in statistics. While frequentist approaches, akin to Maximum Likelihood Estimations, was once the gold standard, the advance of computation...

mechanics is a technique to describe how physical systems, like planets or pendulums, move over time, specializing in energy somewhat than simply forces. By reframing complex dynamics through energy lenses, this Nineteenth-century physics...

Markov chains, Metropolis-Hastings, Gibbs sampling, and the way it pertains to Bayesian inferenceThis post is an introduction to Markov chain Monte Carlo (MCMC) sampling methods. We are going to consider two methods specifically, namely...