ZigZag Sampling Online Tutorial

This tutorial is a guide to understanding the Zig-Zag Process, a new sampling method, described in the document THE ZIG-ZAG PROCESS AND SUPER-EFFICIENT SAMPLING FOR BAYESIAN ANALYSIS OF BIG DATA Bierkens, Fearnhead and Roberts (23 Apr 2018) arXiv 1607.03188v2. This document is released with the aim of diffusion and share of knowledge. It includes the main algorithm, and has an overview of the theoretical statistic background, and some example codes of the algorithm.