books about MCMC to use MCMC R packages?
Hi Jordi, As far as implementions are concerned the book of Bernd Berg seems to be the closest to what you're looking for. You can find a link to the Fortran codes implementing the methods he describes from his web site: http://www.csit.fsu.edu/~berg/ There is also a nice reference for the analysis of the output of MCMC algorithm by Wolfhard Janke: Janke W (2002) Statistical Analysis of Simulations: Data Correlations and Error Estimation. In, Quantum Simulations of Complex Many-Body Systems: From Theory to Algorithms, Lecture Notes, J. Grotendorst, D. Marx, A. Muramatsu (Eds.), John von Neumann Institute for Computing, J??lich, NIC Series, Vol. *10*, pp. 423-445. http://www.fz-juelich.de/nic-series/volume10 Christophe.
Molins, Jordi wrote:
Hi Christophe, thank you very much for your detailed answer! I am not scared about physics literature, because I am a physicist myself, working in finance. So your suggestions suit me very well. What I would like is to implement numerically these methods. Is there some that goes closer into implementation? Thanks! Jordi
A Master Carpenter has many tools and is expert with most of them.If you only know how to use a hammer, every problem starts to look like a nail. Stay away from that trap. Richard B Johnson. -- Christophe Pouzat Laboratoire de Physiologie Cerebrale CNRS UMR 8118 UFR biomedicale de l'Universite Paris V 45, rue des Saints Peres 75006 PARIS France tel: +33 (0)1 42 86 38 28 fax: +33 (0)1 42 86 38 30 web: www.biomedicale.univ-paris5.fr/physcerv/C_Pouzat.html