Cadenas de markov

MARHOV CHAIN

MONTE CARLO
Innovations and Applications

LECTURE NOTES SERIES Institute for Mathematical Sciences, National University of Singapore
Series Editors: Louis H. Y. Chen and Denny Leung Institute for Mathematical Sciences National University of Singapore

Published Vol. 1 Coding Theory and Cryptology edited by Harald Niederreiter Representations of Real and p-Adic Groupsedited by Eng-Chye Tan & Chen-Bo Zhu Selected Topics in Post-Genome Knowledge Discovery edited by Limsoon Wong & Louxin Zhang An Introduction to Stein’s Method edited by A. D. Barbour & Louis H. Y. Chen Stein's Method and Applications edited by A. D. Barbour & Louis H. Y. Chen Computational Methods in Large Scale Simulation edited by K.-Y. Lam & H.-P. Lee Markov Chain Monte Carlo: Innovations andApplications edited by W. S. Kendall, F. Liang & J.-S. Wang

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Vol. 7

Lecture Notes Series, Institute for Mathematical Sciences, National Unveersity of Sigapore

MARKOV CHAIN mONTE CARLO
Innovations and Applications
Editors

w s Kendall
Univeersity of Warwick, UK

F Liang
Texas A & M University, Usa

J-S Wang
National Unversity ofSsingapore, Singaproe

World Scienctific
NEW JERSEY LONDON SINGAPORE BEIJING SHANGHAI HONG KONG TAIPEI CHENNAI

Published by World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE

British Library Cataloguing-in-Publication Data A catalogue recordfor this book is available from the British Library.

MARKOV CHAIN MONTE CARLO Innovations and Applications Copyright © 2005 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to beinvented, without written permission from the Publisher.

For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher.

ISBN 981-256-427-6

Printed in Singapore.

CONTENTS

Foreword Preface Glossary Introduction toMarkov Chain Monte Carlo Simulations and Their Statistical Analysis B. A. Berg An Introduction to Monte Carlo Methods in Statistical Physics D. P. Landau Notes on Perfect Simulation W. S. Kendall Sequential Monte Carlo Methods and Their Applications R. Chen MCMC in the Analysis of Genetic Data on Pedigrees E. A. Thompson Index

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FOREWORD

The Institute for Mathematical Sciences at the National University of Singapore was established on 1 July 2000 with funding from the Ministry of Education and the University. Its mission is to provide an international center of excellence in mathematical research and, in particular, to promote within Singapore and the region active research in the mathematicalsciences and their applications. It seeks to serve as a focal point for scientists of diverse backgrounds to interact and collaborate in research through tutorials, workshops, seminars and informal discussions. The Institute organizes thematic programs of duration ranging from one to six months. The theme or themes of each program will be in accordance with the developing trends of the mathematicalsciences and the needs and interests of the local scientific community. Generally, for each program there will be tutorial lectures on background material followed by workshops at the research level. As the tutorial lectures form a core component of a program, the lecture notes are usually made available to the participants for their immediate benefit during the period of the tutorial. The main...