Companion script to the metropolis-algorithm.com website. Bayesian change-point detection using the Metropolis algorithm. Given noisy time-series observations, the script infers when a change occurred ...

Based on the classical lattice model (Heisenberg, XY, XYZ, etc.), code Ether has been developed to study the thermodynamics of ANY CRYSTAL SYSTEM by performing the basic Monte Carlo methods.

This work presents a version of the Metropolis–Hastings algorithm using quasi-Monte Carlo inputs. We prove that the method yields consistent estimates in some problems with finite state spaces and ...

ABSTRACT: Stable distributions are well-known for their desirable properties and can effectively fit data with heavy tail. However, due to the lack of an explicit probability density function and ...

ABSTRACT: In this work we consider a stochastic volatility model, commonly used in financial time series studies, to analyse ozone data. The model considered depends on some parameters and in order to ...