CAS Exam MAS-II Spring 2019, Question 33
Study guide: Exam MAS-II
An MCMC sampling algorithm with 10,000 samples post warm-up is employed to estimate the posterior distribution of two parameters. The kernel density estimate of the posterior distribution of the correlation, \rho, between the two parameters is plotted below:
The effective number of samples from the sampling algorithm is 202 for the first parameter and 331 for the second parameter.
Determine the most likely MCMC sampling algorithm employed for this analysis.
- A) Gibbs
- B) Hamiltonian Monte Carlo
- C) Metropolis
- D) Metropolis-Hastings
- E) Quadratic Approximation
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