## Posts Tagged ‘Probability’

11
Jan

Posted by thethong in Bayesian, Markov Chains, Monte Carlo, Probability, RJMCMC. Tagged: Adaptive MCMC, Books, Handbook of Markov Chain Monte Carlo, Likelihood-Free MCMC, MCMC, Particle MCMC, pMCMC, Probability, Reversible Jump MCMC, Riemann Manifold MCMC, RJMCMC, Trans-dimensional MC. Leave a comment

Today I received my copy of “Handbook of Markov Chain Monte Carlo“. Up to now I have consulted “Monte Carlo Strategies in Scientific Computing” of Jun S.Liu. In this post I will give my first thought on the new book.

The book of Liu is indeed awesome. The author himself has made many original contributions to sampling algorithms, and many of his ideas was explained in the book. The chapters on Gibbs Sampler (chapter 6),General Conditional Sampling (chapter 7) and multi-chain MCMC (chapter 10, 11) were excellent. But given that the book was written 10 years ago, many recent developments is missing. Some algorithms were not given enough spaces (in particular, Reversible Jump MCMC was given only 2 pages!).

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24
Apr

Posted by thethong in Markov Chains, Monte Carlo, Probability, RJMCMC. Tagged: Bayesian Variable Selection, Clustering, Green, High-dimensional data, Markov Chains, MCMC, Mixture model, model selection, Probability, Reversible Jump MCMC, Richardson&Green, RJMCMC, Trans-dimensional MC. Leave a comment

Slide from a 30-minute presentation. There are some mistakes in the slide.

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5
Nov

Posted by thethong in Markov Chains, Probability. Tagged: Markov Chains, Maths, Probability. Leave a comment

Lately I have stopped reading “Probability and computing”, since I found some gaps in the exposition of the text, especially at chapter 7 “Markov Chains and Random Walks”-the authors left undefined some terminologies such as absorption. Certainly this is not the text for anybody who has little background of probability and want to learn it rigorously (though it is a good introductory text for randomized algorithm). So I bought “Markov Chains” of James Norris.

Exercises in “Markov Chains” are easy (at least for the first chapter ), though there are some problems that I am not quite sure. Here is one of them:

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18
Oct

Posted by thethong in Probability. Tagged: Maths, Probability. Leave a comment

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