Metropolis Algorithm applied to a normal distribution assuming unknown mean and variance

In 1953 Nicholas Metropolis and other researches published the classic paper Equation of State Calculations by Fast Computing Machines with the bases for the approach that would be later known as the Metropolis Algorithm.

The mentioned paper was an outcome of the MANIAC project in which Nicolas Metropolis worked on after the World War 2. This project might be considered one of the pioneer initiatives for the digital computer era. In this webiste there is an interesting post about the history of the project as well as Metropolis biography.

The objectives of this post are:

• to demonstrate how the Metropolis (M) algorithm works by applying it to a specific case of a Normal Distribution with unknown mean and variance;

• to demonstrate how to assess the convergence by applying the Gelman & Rubin (1992) criteria.

Click on the following Link: http://rpubs.com/cassiorampinelli/479727 to access the complete Tutorial