David B. Hitchcock,
A history of the Metropolis-Hastings algorithm,
The American Statistician,
57, 4, pp. 254-257, November 2003.
David B. Hitchcock,
A history of the Metropolis-Hastings algorithm,
The American Statistician,
57, 4, pp. 254-257, November 2003.The Metropolis-Hastings algorithm is an extremely popular Markov chain Monte Carlo technique among statisticians. This article explores the history of the algorithm, highlighting key personalities and events in its development. We relate reasons for the delay in the acceptance of the algorithm and reasons for its recent popularity.