4 ms·

I've got exactly the same feeling. Could you suggest a good introductory textbook into MCMC? They left it as a mysterious blackbox and I'm not very uncomfortabl

by gtt 13y ago

I've got exactly the same feeling. Could you suggest a good introductory textbook into MCMC? They left it as a mysterious blackbox and I'm not very uncomfortable with using mathematical blackboxes I don't understand.

mariuskempe 13y ago
http://www.amazon.com/Data-Analysis-Bayesian-Tutorial-Publications/dp/0198518897 http://www.amazon.com/Data-Analysis-Bayesian-Tutorial-Public... is short and reputable on Bayesian statistics. On MCMC specifically, I don't know, but MCMC is really a kind of algorithm that lets you find the answer to a mathematical question (so I think understanding the math is the right thing to start with). PS. There a second edition of that book, but I've heard that the first edition is better, because the second edition added a different author and expanded the book.
levesque 13y ago
David Mackay covers MCMC in his exhaustive book titled "Information Theory, Inference, and Learning Algorithms" available for free here: http://www.inference.phy.cam.ac.uk/itprnn/book.html http://www.inference.phy.cam.ac.uk/itprnn/book.html They are covered near the end of the book. It should be enough to familarize yourself with and understand the basic concepts of MCMC. Anything more in-depth will require a strong mathematical background. BTW : There are probably a ton of books that cover MCMC out there - that's just one I liked and which is freely downloadable.
- gtt 13y ago
  I have some background (grad student in cfd, thinking about switching to some sort of data analysis later on) but my measure theory and probability skills are rusty (on the other hand numerical linear algebra, functional calculus and complex analysis are superb). What would be a good book for my level?
  - mariuskempe 13y ago
    You'll have no trouble.
    - mariuskempe 13y ago
      I'm sorry! I misread your question as 'Would this be a good book for my level?'.
- gtani 13y ago
  You can also get a PDF of Barber's BRML or look in Murphys ML text, which isn't freely available as PDF Check inside title page, make sure you get 3rd printing of Murphy's: http://www.cs.ubc.ca/~murphyk/MLbook/errata.html http://www.cs.ubc.ca/~murphyk/MLbook/errata.html http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=Brml.HomePage http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=...
- blake8086 13y ago
  I can honestly say this book changed the way I think about everything. I can't recommend it highly enough.

by gtt 13y ago

mariuskempe 13y ago

http://www.amazon.com/Data-Analysis-Bayesian-Tutorial-Publications/dp/0198518897 http://www.amazon.com/Data-Analysis-Bayesian-Tutorial-Public... is short and reputable on Bayesian statistics. On MCMC specifically, I don't know, but MCMC is really a kind of algorithm that lets you find the answer to a mathematical question (so I think understanding the math is the right thing to start with). PS. There a second edition of that book, but I've heard that the first edition is better, because the second edition added a different author and expanded the book.

levesque 13y ago

David Mackay covers MCMC in his exhaustive book titled "Information Theory, Inference, and Learning Algorithms" available for free here: http://www.inference.phy.cam.ac.uk/itprnn/book.html http://www.inference.phy.cam.ac.uk/itprnn/book.html They are covered near the end of the book. It should be enough to familarize yourself with and understand the basic concepts of MCMC. Anything more in-depth will require a strong mathematical background. BTW : There are probably a ton of books that cover MCMC out there - that's just one I liked and which is freely downloadable.

gtt 13y ago
I have some background (grad student in cfd, thinking about switching to some sort of data analysis later on) but my measure theory and probability skills are rusty (on the other hand numerical linear algebra, functional calculus and complex analysis are superb). What would be a good book for my level?
- mariuskempe 13y ago
  You'll have no trouble.
  - mariuskempe 13y ago
    I'm sorry! I misread your question as 'Would this be a good book for my level?'.
gtani 13y ago
You can also get a PDF of Barber's BRML or look in Murphys ML text, which isn't freely available as PDF Check inside title page, make sure you get 3rd printing of Murphy's: http://www.cs.ubc.ca/~murphyk/MLbook/errata.html http://www.cs.ubc.ca/~murphyk/MLbook/errata.html http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=Brml.HomePage http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=...
blake8086 13y ago
I can honestly say this book changed the way I think about everything. I can't recommend it highly enough.