Introduction to MCMC

What are Monte Carlo approximations and how does the Metropolis algorithm work?

Illustration of the Metropolis algorithm. Image by Author

Probabilistic modelling is all the rage these days but there was always one thing that bugged me when I first learned about it. Many Bayesian modelling methods require the computation of integrals and any worked examples I saw seemed to use Gaussian or Bernoulli distributions for the simple…