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February 2011 A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data
Christian Robert, George Casella
Statist. Sci. 26(1): 102-115 (February 2011). DOI: 10.1214/10-STS351

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.

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Christian Robert. George Casella. "A Short History of Markov Chain Monte Carlo: Subjective Recollections from Incomplete Data." Statist. Sci. 26 (1) 102 - 115, February 2011. https://doi.org/10.1214/10-STS351

Information

Published: February 2011
First available in Project Euclid: 9 June 2011

zbMATH: 1222.65006
MathSciNet: MR2849912
Digital Object Identifier: 10.1214/10-STS351

Rights: Copyright © 2011 Institute of Mathematical Statistics

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Vol.26 • No. 1 • February 2011
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