A final if still incomplete history of Markov Chain Monte Carlo

To keep up with the habit of posting about any (!) arXiving of my papers, the final revision of our paper with George Casella on some recollection on the history of MCMC has been accepted for publication in the Handbook of Markov Chain Monte Carlo: Methods and Applications, edited by Steve Brooks;  Andrew Gelman, Galin Jones, and Xiao-Li Meng, and is re-arXived as well. As stressed by the title, the coverage is anything but exhaustive and we mostly stress the parts of MCMC “history” we witnessed and in which we took part. One referee took issue on this stance, asking for a more scholarly work with less standard entries covered in this chapter. This was a perfectly reasonable request from the handbook perspective, but we had neither the time nor the will to turn into part-time historians, as a large chunk of the MCMC history takes place in the foreign realms of particle physics  (examplified in, say, Landau and Binder) and signal processing! The same referee objected to our light, too light, style, as e.g. the (mock-)inclusion of

Definition: epiphany n. A spiritual event in which the essence of a given object of manifestation appears to the subject, as in a sudden flash of recognition.

within the text. (I remember being puzzled by the term when I read it for the first time in Joyce’s Portrait of the Artist As a Young Man as it has a purely ecclesiastic meaning in French…) Again reasonable from the referee’s viewpoint, but handbooks should allow for more freedom of style than journals, unless all chapters get edited by the same managing editor as in Monte Carlo Markov chain in practice where Wally Gilks did an incredible job!

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