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I am looking for a good book that will teach me MCMC in R , in particular Block Gibbs and Collapsed MCMC. Preferably with R pseudocode supplemented within the book as well.

Does anyone have any good recommendations ?

I am looking for a book that teaches solely MCMC. Thanks

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  • $\begingroup$ I think that Spiegelhalter's book is a classic and a good point to start (Markov Chain Monte Carlo in Practice) $\endgroup$
    – tibL
    Commented Mar 25, 2013 at 20:45
  • $\begingroup$ Robert & Casella: Introducing Monte Carlo methods with R ? $\endgroup$
    – Stéphane Laurent
    Commented Mar 25, 2013 at 21:27

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I have come across this a fair few times in my research and it has described a lot of the theory to me, and uses R:

http://www.alibris.co.uk/search/books/isbn/9781441915757

Here is a sample:

http://www.springer.com/cda/content/document/cda_downloaddocument/9781441915757-c1.pdf?SGWID=0-0-45-837967-p173947407

Hope that helps!

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    $\begingroup$ ...which is the Robert & Casella (2009) book mentioned by Stéphane Laurent in a comment above. $\endgroup$
    – Deer Hunter
    Commented Mar 29, 2013 at 15:11
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You can also try Using R for Data Management, Statistical Analysis, and Graphics by Horton, Kleinman (2010) and maybe some useful information can be found in Time Series Analysis and Its Application with R examples.

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