Some things we’ve learned (about Markov chain Monte Carlo)

Persi Diaconis

doi:10.3150/12-BEJSP09

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Home > Journals > Bernoulli > Volume 19 > Issue 4 > Article

September 2013 Some things we’ve learned (about Markov chain Monte Carlo)

Persi Diaconis

Bernoulli 19(4): 1294-1305 (September 2013). DOI: 10.3150/12-BEJSP09

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Abstract

This paper offers a personal review of some things we’ve learned about rates of convergence of Markov chains to their stationary distributions. The main topic is ways of speeding up diffusive behavior. It also points to open problems and how much more there is to do.

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Persi Diaconis. "Some things we’ve learned (about Markov chain Monte Carlo)." Bernoulli 19 (4) 1294 - 1305, September 2013. https://doi.org/10.3150/12-BEJSP09