Author Description

Marking a pivotal moment in the evolution of Bayesian inference, the third edition of this seminal textbook on Markov Chain Monte Carlo (MCMC) methods reflects the profound transformations in both the field of Statistics and the broader landscape of data science over the past two decades. Building on the foundations laid by its first two editions, this updated volume addresses the challenges posed by modern datasets, which now span millions or even billions of observations and high-dimensional parameter spaces. While faster, approximate methods have gained traction, MCMC remains the gold standard for rigorous and reliable Bayesian inference, and this book continues to champion its relevance in the face of evolving computational paradigms. This edition introduces significant updates and expansions, including new material on infinite-dimensional MCMC, sequential Monte Carlo methods, and adaptive algorithms. It also revisits foundational topics with fresh insights, such as iterative dynamics, mixture distributions, and data augmentation, while incorporating cutting-edge developments like Hamiltonian Monte Carlo and Dirichlet process-based methods. With a focus on both theoretical rigor and practical application, the book equips readers to navigate the complexities of modern Bayesian modeling and computation. Features: Expanded coverage of sequential Monte Carlo methods, complementing MCMC with probabilistic foundations A brand-new chapter on infinite-dimensional MCMC, addressing advanced stochastic simulation techniques for modern Bayesian modeling Enhanced theoretical treatment of Markov chains on continuous state spaces, including nonhomogeneous Markov chains and adaptive algorithms New sections on mixture distributions and data augmentation, showcasing their power in simplifying and improving MCMC algorithms Detailed exploration of Hamiltonian Monte Carlo and