References for MCMC Markov Chain Monte Carlo Simulation for Matlab

(Last Updated On: April 10, 2014)

Reference for MCMC Markov Chain Monte Carlo Simulation for Matlab

Hoestly, the help systems of Matlab does not specifially point to any resources so I decided to research some of these below

I am now looking at MCMC Markov Chain Monte Carlo Simulation for Matlab. This is a widely respected way of doing market analysis so here are some links:

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http://www2.math.su.se/matstat/und/bayes/pdf/Lab1eng.pdf <– some basic Maltab sample code as set up as tutorial

http://www.cs.ubc.ca/~murphyk/Teaching/CS340-Fall06/reading/mcmc.pdf <–somewhat advanced but has some decent code with function examples

https://www.msu.edu/~blackj/Scan_2003_02_12/Chapter_11_Markov_Chain_Monte_Carlo_Methods.pdf <–decent explanation with source code examples (no data source)

http://www.mathworks.com/products/statistics/code-examples.html;jsessionid=cb37a085985635731a702db4271d?file=/products/demos/shipping/stats/bayesdemo.html <–the slice sampler is an MCMC algorithm but will use Bayes in future demos

http://helios.fmi.fi/~lainema/mcmc/ <– best self contained framework with no external toolboxes needed

http://helios.fmi.fi/~lainema/mcmc/examples.html <–this contains the best real world example with http://helios.fmi.fi/~lainema/mcmc/ex/normalex.html

I confirmed it worked!

http://www.math.wsu.edu/faculty/genz/416/lect/l10-4.pdf <–scant explanation with code

http://matriisi.ee.tut.fi/courses/MAT-52500/part_II_lecture_6.pdf <– decent Powerpoint but not no example source code

Specific for finance:

http://www.columbia.edu/~mh2078/MCS04/MCS_framework_FEegs.pdf <- specific options/portfolio examples provided with source

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964923 <- need to register at SSRN

http://stanfordphd.com/Markov_Chain_Monte_Carlo.html <– no specific code examples

http://homepages.inf.ed.ac.uk/imurray2/teaching/09mlss/slides.pdf <– easy to consumer Powerpoint slides with some code

https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=6&cad=rja&uact=8&ved=0CFsQFjAF&url=http%3A%2F%2Fwww.math.washington.edu%2F~morrow%2F336_11%2Fpapers%2Fjie.doc&ei=IdhGU9yXJebLsAS4j4DoDA&usg=AFQjCNG_VGVrMkXZmURRdBOLG6magpm1YA&sig2=VqEQ60VekMCsMaTYxRs6iQ&bvm=bv.64507335,d.b2I <– Word Doc download but scant

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