MCMC notes (1)

Recently I was reading articles and books about MCMC, and realized that many materials were not taught in my graduate study. To this end, I decide to make a summary of such content, to assist readers and myself to gain deeper understanding of MCMC in the future. I hope to make this topic a series, although I cannot guarantee its completion. This article is the first one in this hypothetical series, and we are going to introduce an important concept, the geometric ergodicity.

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Is Normal normal?

The rumor says that Normal distribution is everything. It will take a long long time to talk about the Normal distribution thoroughly. However, today I will focus on a (seemingly) simple question, as is stated below: If $X$ and $Y$ are univariate Normal random variables, will $X+Y$ also be Normal? What’s your reaction towards this question? Well, at least for me, when I saw it I said “Oh, it’s stupid.

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Author's picture

Yixuan Qiu

Statistics, Data, and Programming

Associate Professor

Shanghai