Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference PDF
Preview Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference
Texts in Statistical Science Markov Chain Monte Carlo Stochastic Simulation for Bayesian Inference Second Edition CHAPMAN & HALL/CRC Texts in Statistical Science Series Series Editors Bradley P. Carlin, University of Minnesota, USA Chris Chatfield, University of Bath, UK Martin Tanner, Northwestern University, USA Jim Zidek, University of British Columbia, Canada Analysis of Failure and Survival Data Epidemiology— Study Design and Peter J. Smith Data Analysis, Second Edition M. Woodward The Analysis and Interpretation of Multivariate Data for Social Scientists Essential Statistics, Fourth Edition David J. Bartholomew, Fiona Steele, D.A.G. Rees Irini Moustaki, and Jane Galbraith Extending the Linear Model with R: The Analysis of Time Series — Generalized Linear, Mixed Effects and An Introduction, Sixth Edition Nonparametric Regression Models Chris Chatfield Julian J. Faraway Applied Bayesian Forecasting and Time Series A First Course in Linear Model Theory Analysis Nalini Ravishanker and Dipak K. Dey A. Pole, M. West and J. Harrison Generalized Additive Models: Applied Nonparametric Statistical Methods, An Introduction with R Third Edition Simon Wood P. Sprent and N.C. Smeeton Interpreting Data— A First Course Applied Statistics— Handbook of GENSTAT in Statistics Analysis A.J.B. Anderson E.J. Snell and H. Simpson An Introduction to Generalized Applied Statistics — Principles and Examples Linear Models, Second Edition A.J. Dobson D.R. Cox and E.J. Snell Introduction to Multivariate Analysis Bayes and Empirical Bayes Methods for Data C. Chatfield and A.J. Collins Analysis, Second Edition Bradley P. Carlin and Thomas A. Louis Introduction to Optimization Methods and Their Applications in Statistics Bayesian Data Analysis, Second Edition B.S. Everitt Andrew Gelman, John B. Carlin, Hal S. Stern, and Donald B. Rubin Large Sample Methods in Statistics P.K. Sen and J. da Motta Singer Beyond ANOVA— Basics of Applied Statistics Linear Models with R R.G. Miller, Jr. Julian J. Faraway Computer-Aided Multivariate Analysis, Markov Chain Monte Carlo — Stochastic Fourth Edition Simulation for Bayesian Inference, Second Edition A. A Afifi and V.A. Clark Dani Gamerman and Hedibert Freitas Lopes A Course in Categorical Data Analysis Mathematical Statistics T. Leonard K. Knight A Course in Large Sample Theory Modeling and Analysis of Stochastic Systems T.S. Ferguson V. Kulkarni Data Driven Statistical Methods Modelling Binary Data, Second Edition P. Sprent D. Collett Decision Analysis — A Bayesian Approach Modelling Survival Data in Medical Research, J.Q^ Smith Second Edition Elementary Applications of Probability D. Collett Theory, Second Edition Multivariate Analysis of Variance and H.C. Tuckwell Repeated Measures — A Practical Approach Elements of Simulation for Behavioural Scientists B.J.T. Morgan D.J. Hand and C.C. Taylor Practical Data Analysis for Designed Statistical Methods for SPC and TQM Experiments D. Bissell B.S. Yandell Statistical Methods in Agriculture and Practical Longitudinal Data Analysis Experimental Biology, Second Edition D.J. Hand and M. Crowder R. Mead, R.N. Cumow, and A.M. Hasted Practical Statistics for Medical Research Statistical Process Control— Theory D.G. Altman and Practice, Third Edition G.B. Wetherill and D.W. Brown Probability — Methods and Measurement A. O’Hagan Statistical Theory, Fourth Edition B.W. Lindgren Problem Solving— A Statistician’s Guide, Second Edition Statistics for Accountants C. Chatfield S. Letchford Randomization, Bootstrap and Statistics for Epidemiology Monte Carlo Methods in Biology, Nicholas P. Jewell Second Edition Statistics for Technology— A Course in B.F.J. Manly Applied Statistics, Third Edition Readings in Decision Analysis C. Chatfield S. French Statistics in Engineering — Sampling Methodologies with Applications A Practical Approach Poduri S.R.S. Rao A.V. Metcalfe Statistical Analysis of Reliability Data Statistics in Research and Development, M.J. Crowder, A.C. Kimber, Second Edition T.J. Sweeting, and R.L. Smith R. Caulcutt Statistical Methods for Spatial Data Analysis Survival Analysis Using S—Analysis of Oliver Schabenberger and Carol A. Cotway Time-to-Event Data Mara Tableman and Jong Sung Kim The Theory of Linear Models B. Jorgensen Texts in Statistical Science Markov Chain Monte Carlo Stochastic Simulation for Bayesian Inference Second Edition Dani Gamerman Instituto de Matematica Universidade Federal do Rio de Janeiro, Brazil Hedibert Freitas Lopes Graduate School of Business University of Chicago, U.S.A. Chapman & Hall/CRC Taylor & Francis Group Boca Raton London New York Chapman & Hall/CRC is an imprint of the Taylor & Francis Croup, an informa business Published in 2006 by Chapman & Hall/CRC Taylor & Francis Group 6000 Broken Sound Parkway NW, Suite 300 Boca Raton, FL 33487-2742 © 2006 by Taylor & Francis Group, LLC Chapman & Hall/CRC is an imprint of Taylor & Francis Group No claim to original U.S. Government works Printed in the United States of America on acid-free paper 10 9 8 7 6 5 International Standard Book Number-10: 1-58488-587-4 (Hardcover) International Standard Book Number-13: 978-1-58488-587-0 (Hardcover) Library of Congress Card Number 2006044491 This book contains information obtained from authentic and highly regarded sources. Reprinted material is quoted with permission, and sources are indicated. A wide variety of references are listed. Reasonable efforts have been made to publish reliable data and information, but the author and the publisher cannot assume responsibility for the validity of all materials or for the consequences of their use. No part of this book may be reprinted, reproduced, transmitted, or utilized in any form by any electronic, mechanical, or other means, now known or hereafter invented, including photocopying, microfilming, and recording, or in any information storage or retrieval system, without written permission from the publishers. For permission to photocopy or use material electronically from this work, please access www.copyright.com (http://www.copyright.com/) or contact the Copyright Clearance Center, Inc. (CCC) 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400. CCC is a not-for-profit organization that provides licenses and registration for a variety of users. For organizations that have been granted a photocopy license by the CCC, a separate system of payment has been arranged. TVademark Notice: Product or corporate names may be trademarks or registered trademarks, and are used only for identification and explanation without intent to infringe. Library of Congress Cataloging-in-Publication Data Gamerman, Dani. Markov chain Monte Carlo : stochastic simulation for Bayesian inference.— 2nd ed. / Dani Gamerman, Hedibert F. Lopes. p. cm. — (Texts in statistical science series ; 68) Includes bibliographical references and indexes. ISBN 1-58488-587-4 (acid-free paper) 1. Bayesian statistical decision theory. 2. Markov processes. 3. Monte Carlo method. I. Lopes, Hedibert Freitas. II. Title. III. Texts in statistical science ; v. 68. QA279.5.G36 2006 519.5’42—dc22 2006044491 Visit the Taylor & Francis Web site at http://www.taylorandfrancis.com Taylor & Francis Group and the CRC Press Web site at is the Academic Division of Informa pic. http://www.crcpress.com To Andre (D.G.) To Neusa, Levy and Anne (H.F.L.)
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