Markov chain Monte Carlo methods for Bayesian computation have until recently been restricted to problems where the joint distribution of all variables has a density with respect to some xed standard underlying measure. They have therefore not been available for application to Bayesian model

. Related problems in other fields have been tackled using Monte Carlo methods based on sampling using Markov chains, providing a rich array of techniques that can be applied to problems in artificial intelligence. The "Metropolis algorithm" has been used to solve difficult problems in statistical

This paper is also the originator of the Markov Chain Monte Carlo methods developed in the following chapters. The potential of these two simultaneous innovations has been discovered much latter by statisticians (Hastings 1970; Geman and Geman 1984) than by of physicists (see also Kirkpatrick et al

A general framework for using Monte Carlo methods in dynamic systems is provided and its wide applications indicated. Under this framework, several currently available techniques are studied and generalized to accommodate more complex features. All of these methods are partial combinations of three

A critical issue for users of Markov Chain Monte Carlo (MCMC) methods in applications is how to determine when it is safe to stop sampling and use the samples to estimate characteristics of the distribution of interest. Research into methods of computing theoretical convergence bounds holds promise

Calculating a Monte Carlo standard error (MCSE) is an important step in the statistical analysis of the simulation output obtained from a Markov chain Monte Carlo experiment. An MCSE is usually based on an estimate of the variance of the asymptotic normal distribution. We consider spectral

. This paper gives a brief overview of techniques developed recently for analyzing the rate of convergence to equilibrium in Markov chain Monte Carlo experiments. A number of applications in statistical physics are mentioned, and extensive references provided. Key words. Statistical physics, Monte

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In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the unobserved volatilities at once using an approximating

This paper presents a computational paradigm called Data Driven Markov Chain Monte Carlo (DDMCMC) for image segmentation in the Bayesian statistical framework. The paper contributes to image segmentation in three aspects. Firstly, it designs effective and well balanced Markov Chain dynamics