Solved – Textbook deriving Metropolis-Hastings and Gibbs Sampling

bayesianmarkov-chain-montecarloreferences

I have fairly good practical experience with Metropolis-Hastings and Gibbs sampling, but I want to get a better mathematical understanding of these algorithms. What are some good textbooks or articles that prove the correctness of these samplers (more algorithms would also be great)?

Best Answer

For a handbook and an extensive coverage, the following one is very moderately priced.

Brooks, et al. (ed.), Handbook of Markov Chain Monte Carlo, Chapman & Hall/CRC, 2011.

Robert and Casella (2010) have a good deal of theory.

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