[R] books about MCMC to use MCMC R packages?

Christophe Pouzat christophe.pouzat at univ-paris5.fr
Fri Sep 23 13:30:24 CEST 2005

Hi Jordi,

As far as implementions are concerned the book of Bernd Berg seems to be 
the closest to what you're looking for.
You can find a link to the Fortran codes implementing the methods he 
describes from his web site:


There is also a nice reference for the analysis of the output of MCMC 
algorithm by Wolfhard Janke:
Janke W (2002) Statistical Analysis of Simulations: Data Correlations 
and Error Estimation. In, Quantum Simulations of Complex Many-Body 
Systems: From Theory to Algorithms, Lecture Notes, J. Grotendorst, D. 
Marx, A. Muramatsu (Eds.), John von Neumann Institute for Computing, 
Jülich, NIC Series, Vol. *10*, pp. 423-445.


Molins, Jordi wrote:

>Hi Christophe,
>thank you very much for your detailed answer!
>I am not scared about physics literature, because I am a physicist myself,
>working in finance. So your suggestions suit me very well.
>What I would like is to implement numerically these methods. Is there some
>that goes closer into implementation?

A Master Carpenter has many tools and is expert with most of them.If you
only know how to use a hammer, every problem starts to look like a nail.
Stay away from that trap.
Richard B Johnson.

Christophe Pouzat
Laboratoire de Physiologie Cerebrale
UFR biomedicale de l'Universite Paris V
45, rue des Saints Peres
75006 PARIS

tel: +33 (0)1 42 86 38 28
fax: +33 (0)1 42 86 38 30
web: www.biomedicale.univ-paris5.fr/physcerv/C_Pouzat.html

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