Any suggestions for a good source to learn MCMC methods?
For online tutorials, there are
- A tutorial in MCMC, by Sahut (2000)
- Tutorial on Markov Chain Monte Carlo, by Hanson (2000)
- Markov Chain Monte Carlo for Computer Vision, by Zhu et al. (2005)
- Introduction to Markov Chain Monte Carlo simulations and their statistical analysis, by Berg (2004).
Gilks W.R., Richardson S., Spiegelhalter D.J. Markov Chain Monte Carlo in Practice. Chapman & Hall/CRC, 1996.
A relative oldie now, but still a goodie.
Chapter 4, 'Inference from simulations and monitoring convergence' by Gelman and Shirley, is available online.
-- a more recently updated book than Gilks, Richardson & Spiegelhalter. I haven't read it myself, but it was well reviewed in Technometrics in 2008, and the first edition also got a good review in The Statistician back in 1998.
Another classic position (as accompanied to already mentioned Introducing Monte Carlo Methods with R):
Monte Carlo Statistical Methods by Robert and Casella (2004)
in the Use R! series there is also:
Introduction to Probability Simulation and Gibbs Sampling with R by Suess and Trumbo (2010)