A History of Markov Chain Monte Carlo--Subjective Recollections from Incomplete Data--
Year: 2008
Type: preprint
Abstract: 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.
Authors: Christian Robert, George Casella
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4318756205