“A vignette on Metropolis” (Christian Robert)

This is a very welcome addition by a master of Bayesian computation, providing a great, brief answer for many of my colleagues who ask, “What’s this MCMC thing about anyway?”

Xi'an's Og

Over the Atlantic, Dec. 14, 2010Over the past week, I wrote a short introduction to the Metropolis-Hastings algorithm, mostly in the style of our Introduction to Monte Carlo with R book, that is, with very little theory and worked-out illustrations on simple examples. (And partly over the Atlantic on my flight to New York and Columbia.) This vignette is intended for the Wiley StatsRef: Statistics Reference Online Series, modulo possible revision. Again, nothing novel therein, except for new examples.

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