Archive for Hastings

Reading classics (#5)

Posted in Books, Statistics, University life with tags , , , , , , , , , on December 14, 2012 by xi'an

This week, my student Dona Skanji gave a presentation of the paper of Hastings “Monte Carlo sampling methods using Markov chains and their applications“, which set the rules for running MCMC algorithms, much more so than the original paper by Metropolis et al. which presented an optimisation device. even though the latter clearly stated the Markovian principle of those algorithms and their use for integration. (This is definitely a classic, selected in the book Biometrika: One hundred years, by Mike Titterington and David Cox.) Here are her slides (the best Beamer slides so far!):

Given that I had already taught my lectures on Markov chains and on MCMC algorithms, the preliminary part of Dona’s talk was easier to compose and understanding the principles of the method was certainly more straightforward than for the other papers in the series. I think she nonetheless did a rather good job in summing up the paper, running this extra simulation for the Poisson distribution—with the interesting “mistake” of including the burnin time in the representation of the output and concluding about a poor convergence—and mentioning the Gibbs extension.I led the discussion of the seminar towards irreducibility conditions and Peskun’s ordering of Markov chains, which maybe could have been mentioned by Dona since she was aware Peskun was Hastings‘ student.