Statistical Science

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

Christian Robert and George Casella

Full-text: Open access

Abstract

We attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940s through its use today. We see how the earlier stages of 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.

Article information

Source
Statist. Sci. Volume 26, Number 1 (2011), 102-115.

Dates
First available in Project Euclid: 9 June 2011

Permanent link to this document
http://projecteuclid.org/euclid.ss/1307626568

Digital Object Identifier
doi:10.1214/10-STS351

Mathematical Reviews number (MathSciNet)
MR2849912

Zentralblatt MATH identifier
1222.65006

Keywords
Gibbs sampling Metropolis–Hasting algorithm hierarchical models Bayesian methods

Citation

Robert, Christian; Casella, George. A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data. Statist. Sci. 26 (2011), no. 1, 102--115. doi:10.1214/10-STS351. http://projecteuclid.org/euclid.ss/1307626568.


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