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MCMC Sampling Stuff

I love reading Andrew Gelman's blog; it's a great mixture of serious statistical thought, practical data analysis questions, random personal musings, and links to the rest of the stats blogosphere. Gelman is a very smart, famous Bayesian and advisor to our own Cavan Reilly.

He recently wrote two posts about MCMC sampling that you might find interesting/useful.

One is some second-hand skepticism about a recent paper (published in the first post-Brad issue of Bayesian Analysis) on a new Metropolis sampler that doesn't require tuning.

The other is an extended reaction to a talk by Charlie Geyer (from the UofM Stats Department) about convergence issues.