pip install mclmc
You can check out the tutorials:
- getting started: sampling from a standard Gaussian (sequential sampling)
- advanced tutorial: sampling the hierarchical Stochastic Volatility model for the S&P500 returns data (sequential sampling)
Julia implementation is available here.
The associated papers are:
- method and benchmark tests
- formulation as a stochastic process and first application to the lattice field theory
If you have any questions do not hesitate to contact me at [email protected]
