Date
2011
Lien vers un document non conservé dans cette base
http://hal.archives-ouvertes.fr/hal-00311793/en/
Indexation documentaire
Probabilités et mathématiques appliquées
Subject
Metropolis-Hastings algorithm; simulation; Gibbs sampling; Monte Carlo
Code JEL
C15
Nom de la revue
Statistical Science
Volume
26
Numéro
1
Date de publication
2011
Pages article
102-115
Nom de l'éditeur
Institute of Mathematical Statistics
Auteur
Casella, George
Robert, Christian P.
Type
Article accepté pour publication ou publié
Résumé en anglais
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.
