I have also been accustomed to thinking in a frequentist way. Recently I have acquired
Doing Bayesian Data Analysis: A Tutorial with R and BUGS by John K. Kruschke (2011). Academic Press / Elsevier. ISBN: 9780123814852 and intend to read it in detail shortly. There is also some interesting material and links on on his blog http://doingbayesiandataanalysis.blogspot.ie/ Best Regards John On 26 August 2012 01:05, Allin Cottrell <cottrell(a)wfu.edu> wrote: > This may appear to be totally off-topic but it's not entirely so, > given that we've had a "feature request" at sourceforge for a Gibbs > sampler implementation. Anyway, does anyone have a recommendation > for a sort of "Markov Chain Monte Carlo for dummies" -- a useful > book, article or website? > > I understand the principles of Monte Carlo analysis pretty well; > I've read some interesting arguments in favour of a Bayesian > approach in statistics (though I'm basically a frequentist); and I > have some notion of what Markov chains are; but I'm having trouble > putting the whole picture together. > > That is, if we start from some econometric problem, and we assume > some relevant data are available -- and maybe we also assume that I > have some prior beliefs about the problem in question that could be > quantified to some extent, in some way -- how exactly could I use > MCMC to arrive at "better" (in what sense?) parameter estimates, > confidence intervals for these estimates, forecasts, and confidence > intervals for the forecasts, than I could obtain via regular OLS, > GLS, MLE, or GMM? > > I'm not asking people to explain this to me here, just to give any > references that they have found particularly useful. > > Thanks. > > Allin Cottrell > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users -- John C Frain Economics Department Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj(a)tcd.ie mailto:frainj(a)gmail.com
