Re: [R] books about MCMC to use MCMC R packages?

From: Christophe Pouzat <christophe.pouzat_at_univ-paris5.fr>
Date: Fri 23 Sep 2005 - 19:21:47 EST

Hello,

I don't know yet of any book which presents MCMC methods with R examples so I can't answer to this part of your question. But I can suggest some general references (see the attached BibTeX file for details):

My favorite starting point is Radford Neal review from 1993, you can download it from his web-site.

Julian Besag's 2000 working paper is also a good starting point especially for statisticians (you can also download it).

If you're not scared at seeing the minus log likelihood referred to as the energy you can take a look at the Physics literature (Sokal, 1996; Berg 2004 and 2004b). It's a good way to learn about tricks physicists use to get faster relaxation of their chains, like simulated annealing and the replica exchange method / parallel tempering method. These tricks were apparently first found by statisticians (Geyer, 1991; Geyer & Thompson, 1995; Ogata, 1995; review by Iba, 2001) but don't seem to attract much attention in this community. In my experience they work spectacularly well.

Robert and Casella, 2004 is a thorough reference with a bit too much on reversible jump techniques and not enough on physicians tricks (in my opinion of course).

Liu, 2001 is a spectacular overview. He knows very well both the statistical and physical literatures. But it's often frustrating because not enough details are given (for slow guys like me at least).

Fishman, 1996 is very comprehensive with much more than MCMC (that he calls "random tours").

Finally a note of caution about MCMC method can be useful, see Ripley, 1996.

I hope that helps,

Christophe.

Molins, Jordi wrote:

>Dear list users,
>
>I need to learn about MCMC methods, and since there are several packages in
>R that deal with this subject, I want to use them.
>
>I want to buy a book (or more than one, if necessary) that satisfies the
>following requirements:
>
>- it teaches well MCMC methods;
>
>- it is easy to implement numerically the ideas of the book, and notation
>and concepts are similar to the corresponding R packages that deal with MCMC
>methods.
>
>I have done a search and 2 books seem to satisfy my requirements:
>
>- Markov Chain Monte Carlo In Practice, by W.R. Gilks and others.
>
>- Monte Carlo Statistical methods, Robert and Casella.
>
>What do people think about these books? Is there a suggestion of some other
>book that could satisfy better my requirements?
>
>Thank you very much in advance.
>
>
>
>
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-- 
A Master Carpenter has many tools and is expert with most of them.If you
only know how to use a hammer, every problem starts to look like a nail.
Stay away from that trap.
Richard B Johnson.
--

Christophe Pouzat
Laboratoire de Physiologie Cerebrale
CNRS UMR 8118
UFR biomedicale de l'Universite Paris V
45, rue des Saints Peres
75006 PARIS
France

tel: +33 (0)1 42 86 38 28
fax: +33 (0)1 42 86 38 30
web: www.biomedicale.univ-paris5.fr/physcerv/C_Pouzat.html


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Received on Fri Sep 23 19:24:48 2005

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