Basics of MCMC

I have explained the basics of MCMC in Lecture 27 of ME 539. There we used pyro with PyTorch to implement MCMC algorithms. Here we will use Blackjax and numpyro, both of which use Jax.

The basics of MCMC as well as the diagnostics are discussed in Chapter 11 of Bayesian Data Analysis by Gelman et al.. The book is freely available online. It is an excellent book.