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

From: Christophe Pouzat <christophe.pouzat_at_univ-paris5.fr>
Date: Fri 23 Sep 2005 - 21:30:24 EST

Hi Jordi,

As far as implementions are concerned the book of Bernd Berg seems to be the closest to what you're looking for.
You can find a link to the Fortran codes implementing the methods he describes from his web site:

http://www.csit.fsu.edu/~berg/

There is also a nice reference for the analysis of the output of MCMC algorithm by Wolfhard Janke:
Janke W (2002) Statistical Analysis of Simulations: Data Correlations and Error Estimation. In, Quantum Simulations of Complex Many-Body Systems: From Theory to Algorithms, Lecture Notes, J. Grotendorst, D. Marx, A. Muramatsu (Eds.), John von Neumann Institute for Computing, Jülich, NIC Series, Vol. *10*, pp. 423-445. http://www.fz-juelich.de/nic-series/volume10

Christophe.

Molins, Jordi wrote:

>Hi Christophe,
>
>thank you very much for your detailed answer!
>
>I am not scared about physics literature, because I am a physicist myself,
>working in finance. So your suggestions suit me very well.
>
>What I would like is to implement numerically these methods. Is there some
>that goes closer into implementation?
>
>Thanks!
>
>Jordi
>
>

-- 
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 21:35:08 2005

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