I’ve just received my copy of Advanced Markov Chain Monte Carlo Methods, by Liang, Liu, & Carroll. Although my PhD didn’t really involve any Bayesian methodology (and my undergrad was devoid of any Bayesian influence), I’ve found that the sort of problems I’m now tackling in systems biology demand a Bayesian/MCMC approach. There are a number of introductory books on MCMC, but not that many on advanced techniques.
This book suggests that it could be used as a possible textbook or reference guide in a one-semester statistics graduate course. I’m not entirely convinced that it would be a good textbook, but as a reference it looks very promising. A word of warning, if you’re not familiar with MCMC then you should try the Dani Gamerman MCMC book first. Some later chapters look particularly interesting, including topics on adaptive proposals, population-based MCMC methods and dynamic weightings.
Anyway, I intend to work through the book (well at least a few of the chapters) and post my results/code as I go. Well that’s the plan anyway.