MTH707A - Markov chain Monte Carlo
Course pages and information
Course information
References
Books:
- Markov chains and stochastic stability by Sean Meyn and Richard Tweedie online book
- Handbook of Markov chain Monte Carlo website
- Monte Carlo statistical methods by Robert and Casella website
Papers:
- General state space Markov chains and MCMC algorithms by Roberts and Rosenthal paper
- Hastings algorithm at Fifty by Dunson and Johndrow paper
- Practical Markov Chain Monte Carlo paper
- A Short History of Markov Chain Monte Carlo paper
Charlie Geyer’s resources:
- Charlie Geyer’s comprehensive course notes link
- Charlie Geyer’s shorter MCMC notes link
- Introduction to MCMC (book chapter) link
Week 0 (Review on your own)
- Basic introduction to measure theory (Section 2 here) link
- Introduction to accept-reject link
- Introduction to R - 1 link
- Introduction to R - 2 link