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Gibbs Sampling for Dummies

  1. May 19, 2010 #1
    Hi all,

    I have used Metropolis-Hastings rules in a Markov Chain Monte Carlo (MCMC) algorithm for a few months now. I feel quite confident with this method and I use it frequently for fitting various model parameters to observational data. Already I feel that computational time is really hindering the MCMC method and I require something more efficient.

    I have heard that Gibbs sampling is a more efficient method than Metropolis-Hastings, can anyone confirm this first of all? Second, most of the literature on Gibbs sampling I have Googled is quite confusing to me and I would really appreciate it if anyone knows of a very good and simple guide (i.e. for "dummies") on how to make the upgrade from Metropolis-Hastings to the more advanced Gibbs sampling.

    Thanks in advance,

  2. jcsd
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