Late review

“The book will be useful to virtually anyone…”

The latest issue of JASA contains a review by Wes Johnson of the 2004 second edition of our Monte Carlo Statistical Methods book with George Casella. I find it quite surprising that a review appears more than four years after the book was published but, after all, I once wrote for JASA a book review of Geoff McLachlan’s book on mixtures that never appeared! Anyway, it is always nice to get reviews, especially because that one is much more positive than the review by Osnat Stramer about the first edition.

“I plan to teach again using this book…”

As stated above, the tone of the rewiew is quite positive and this is quite appreciated, especially when considering the analysis is made from a textbook perspective. The only reservation of Wes Johnson is about Chapter 6 and the lack of details about Markov chain theory that forced him to read through Meyn and Tweedie (1993), because he “found it difficult to follow such a brief version of the theory.” I cannot be agree that our coverage of Markov chain theory in this chapter is not deep enough and I feel the same when teaching my yearly graduate course on MCMC method. I usually spend one week on Chapter 6 and ask the students to check on Meyn and Tweedie (1993) for further coverage. We could have written this part of the book more completely” indeed, but then the chapter would have been much longer and also the following chapters do not use so much the deep Markov theory since we only state ergodicity results (and a few geometric convergence results). [In addition, the deep theory should be [have been] covered in the book started by Gareth Roberts and Richard Tweedie… There is still a fair chance a version of this book appears, possibly with an additional co-author!] If we end up writing a third edition of Monte Carlo Statistical Methods with George, we’ll keep this piece of advice in mind, though.

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