Sep 21, 2017

THE VON MISES DISTRIBUTION IS GIVEN BY WHERE 0 IS THE MODIFIED BESSEL FUNCTION OF THE FIRST KIND…

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The von Mises distribution is given by

where is the modified Bessel function of the first kind and order zero. Letting b = 3and a starting point of 1, use the Metropolis random-walk algorithm to generate 1000 random iterations of the chain. Use the uniform distribution over the interval (-1, 1) to generate steps in the walk. Plot the output from the chain versus the iteration number. Does it look like you need to discard the initial values in the chain for this example? Plot a histogram of the sample [Gentle, 1998].


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