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A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data

Casella, George; Robert, Christian P. (2011), A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data, Statistical Science, 26, 1, p. 102-115. http://dx.doi.org/10.1214/10-STS351

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00311793/en/
Date
2011
Journal name
Statistical Science
Volume
26
Number
1
Publisher
Institute of Mathematical Statistics
Pages
102-115
Publication identifier
Metadata
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Author(s)
Casella, George
Robert, Christian P.
Abstract (EN)
In this note we attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940's through its use today. We see how the earlier stages of the Monte Carlo (MC, not MCMC) research have led to the algorithms currently in use. More importantly, we see how the development of this methodology has not only changed our solutions to problems, but has changed the way we think about problems.
Subjects / Keywords
Metropolis-Hastings algorithm; simulation; Gibbs sampling; Monte Carlo
JEL
C15 - Statistical Simulation Methods: General