Technometrics

ISSN: 0040-1706 (Print) 1537-2723 (Online) Journal homepage: http://www.tandfonline.com/loi/utch20

Markov Chain Monte Carlo: Stochastic Simulation

for Bayesian Inference

S. E Ahmed

To cite this article: S. E Ahmed (2008) Markov Chain Monte Carlo: Stochastic Simulation for
Bayesian Inference, Technometrics, 50:1, 97-97, DOI: 10.1198/tech.2008.s542

To link to this article: https://doi.org/10.1198/tech.2008.s542

Published online: 01 Jan 2012.

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 BOOK REVIEWS
the current edition is intended to provide practitioners with a comprehensive
resource for the use of software package Stata. This user-friendly package pro-
vides almost all standard commonly used methods of data analysis. Having said
that, the handbook also offers some specialized analysis including generalized
estimating equations, analysis of survival data, complex survey data, time series
and panel data. Some of the new features added in the current edition include
new commands for mixed models and a new matrix language. Some of the
features of the handbook are:
• Demonstrate how a wide variety of statistical analysis, including descrip-
tive statistics, graphics, model estimation and diagnostics, can be per-
formed using Stata
• Incorporates numerous examples that use real-life data to explain the ap-
plications of the methods described
• Includes diverse datasets in many exercises to build a better understanding
of the methodology.
The fourth edition has been updated to provide an introduction to Stata ver-
sion 9. Further, this edition showcases many new exercises, particularly based
on new data sets. Answers for selected exercises are given in the Appendix. For
the course instructors, a solution manual is available.
This is a useful handbook for practitioners and students. The authors have
made reasonable additions in the current edition to make it useful and attractive
as a resource manual and as a textbook in its own right.
S. E. A HMED
University of Windsor
REFERENCE
Fricker, R. D., Jr. (2001), Review of A Handbook of Statistical Analyses Using
Stata, by S. Rabe-Hesketh and B. S. Everitt, Technometrics, 43, 496–497.
Markov Chain Monte Carlo: Stochastic Simulation for
Bayesian Inference (2nd ed.), by Dani G AMERMAN and
Hedibert F. L OPES, Boca Raton, FL: Champan & Hall/CRC,
2006, ISBN 0-412-81820-5, 344 pp., $69.95.
The first edition of this book appeared in 1997—a decade ago. The new
edition successfully incorporates changes in theory and showcases new ap-
plications. The book provides a nice and concise introduction to the subject
of Markov chain Monte Carlo (MCMC) simulation. This can be regarded as
a textbook for modern Bayesian computation and Bayesian inference courses
at various levels (senior undergraduate of graduate level courses). Further, the
book can be accessible to both statisticians as well as to scientists from a host of
disciplines, having reasonable knowledge of mathematical statistics and prob-
ability. A few years ago, I used this as a textbook for a reading course at the
University of Regina (Department of Mathematics and Statistics) for third year
mathematics and statistics majors. The students provided positive feedback and
did not find much difficulty in understanding the basic principles of MCMC,
however, the main concern was not having enough examples and exercises. In a
nutshell, the book was useful as a first reading material on MCMC and related
topics.
The book consists of seven chapters, however, the main strength of this book
is in Chapters 5, 6, and 7, dealing with Gibbs sampling, Metropolis–Hastings
algorithms, and further topics in MCMC, respectively. More specifically, the
current edition includes the following changes/enhancements:
• More examples with discussion of computational details in chapters on
Gibbs sampling and Metropolis–Hastings algorithms
• Recent developments in MCMC, including reversible jump, slice sam-
pling, bridge sampling, path sampling, multiple-try, and delayed rejection
• Discussion of computation using both R and WinBUGS
• Sections on spatial models and model adequacy.
This is a useful book for practitioners, academicians, and students (senior
undergraduate and junior graduate) alike. The authors have made important
and sufficient changes in the current edition to make the book more informative
and interesting as both a reference book and a textbook. I like having the new
edition at my desk, and suggest that you do so, too.
S. E. A HMED
University of Windsor
97
Bayesian Networks and Decision Graphs (2nd ed.), by
F. V. J ENSON and T. D. N IELSEN, New York: Springer-
Verlag, 2007, ISBN 0-387-68281-3, 448 pp., $79.95.
A detailed review of the first edition of this book was printed in the 2003
issue of Technometrics [Volume 45 (2)]. Like the first edition, the second edi-
tion can be used as a text book as well as a reference book for statisticians and
nonstatisticians. As the title reveals, this book is an introduction to Bayesian
networks and decision graphs. Thus, the new edition is divided into two parts.
The first half is devoted on probabilistic graphical models while the second half
focuses on decision graphs, including Markov decision processes and partially
ordered decision problems. The authors have added some new materials/topics
and some commonly used methods for learning graphical models. Further, the
treatment of graphical languages for modeling decisions is extended. However,
there is no change in the level of mathematical treatment from the level of the
first edition. Authors recognize that many of the new issues in the current edi-
tion are mathematically rather demanding. Like the first edition, the new edition
is supported by a website, which provides readers with solutions and models for
selected exercises and other useful related matters. Some of the main features
of this book are as follows:
• Provides a well-founded practical introduction to Bayesian networks,
object-oriented Bayesian networks, decision trees, influence diagrams,
and Markov decision process
• Gives practical advice on construction of Bayesian networks, decision
trees, and influence diagrams from domain knowledge
• Gives several examples and exercises exploiting computer systems for
dealing with Bayesian networks and decision graphs.
I can comfortably recommend this book as a primary source for topics re-
lated to Bayesian networks and decision graphs. This would be an excellent
edition to any personal library.
S. E. A HMED
University of Windsor
REFERENCE
Marchette, D. J. (2003), Review of Bayesian Networks and Decision Graphs
(2nd ed.), by F. V. Jenson and T. D. Nielsen, Technometrics, 45, 178.
Univariate and Multivariate General Linear Models—
Theory and Applications With SAS (2nd ed.), by K. K IM
and N. T IMM, Boca Raton, FL: Chapman & Hall/CRC,
2006, ISBN 1-58488-634-X, 549 pp., $79.95.
A detailed review of the first edition of this book was printed in the February
1999 issue of Technometrics.
Like the first edition, the new edition of this book showcases analyses of sim-
ple and complex univariate and multivariate models. This new and expanded
edition divides theory from applications within each chapter. The book is in-
tended as a graduate level textbook for students in social and behavioral sci-
ences and in applied statistics. Further, this book can be used as a reference
book in related areas. The mathematical treatment of the book is minimal to
moderate. However, to get the maximum benefit of the book, readers must have
some familiarity with matrix algebra and running SAS procedures. SAS proce-
dures are used to perform analysis almost everywhere in the book, with a few
exceptions. Some SAS codes are discussed in detail for smooth reading and an
understanding of the materials. There is also a change in the authorship in this
new edition.
The new edition includes some corrections to the first edition, additional
examples, and some expanded and new material. All examples have been re-
vised in an effort to include options available using SAS version 9.0. Not only
that, the current edition also includes applications of the MI, MIANALYZE,
TRANSREG, and CALIS procedures. However, SAS code and data files have
been excluded from the book to save space because they are now available on a
website. The new edition includes the following changes/enhancements:
TECHNOMETRICS, FEBRUARY 2008, VOL. 50, NO. 1