Introduction to Bayesian Analysis Procedures

Tutorial and Review Papers on MCMC

Besag, J., Green, P., Higdon, D., and Mengersen, K. (1995). "Bayesian Computation and Stochastic Systems." Statistical Science 10:3–66. With discussion.

Casella, G., and George, E. I. (1992). "Explaining the Gibbs Sampler." American Statistician 46:167–174.

Chib, S., and Greenberg, E. (1995). "Understanding the Metropolis-Hastings Algorithm." American Statistician 49:327–335.

Chib, S., and Greenberg, E. (1996). "Markov Chain Monte Carlo Simulation Methods in Econometrics." Econometric Theory 12:409–431.

Kass, R. E., Carlin, B. P., Gelman, A., and Neal, R. M. (1998). "Markov Chain Monte Carlo in Practice: A Roundtable Discussion." Statistical Science 52:93–100.