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

In this note we attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940's through its use today. We see how the earlier stages of the 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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Year of publication:	2011
Authors:	Casella, George ; Robert, Christian P.
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Metropolis-Hastings algorithm \| simulation \| Gibbs sampling \| Monte Carlo

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Statistical Science, 2011, Vol. 26, no. 1. pp. 102-115.Length: 13 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010708212