MCMC (Markov Chain Monte Carlo)

Markov Chain Monte Carlo (MCMC) is a method used in statistics to estimate complex probabilities. It works by creating a sequence (or chain) of sample points that explore the possible values of a model’s parameters. Each new point depends only on the current one, following specific rules to ensure the chain eventually reflects the true probability distribution. Over time, by sampling this chain, we gather a representative set of data that helps us understand uncertainties, make predictions, or infer hidden information, especially when direct calculation is difficult.