MCMC

Markov Chain Monte Carlo methods

• S. Chib and E. Greenberg (1995). Understanding the Metropolis-Hastings Algorithm. The American Statistician, 49-4:327-335. 
• G. Casella and E. I. George (1992). Explaining the Gibbs Sampler. The American Statistician, 46-3:167-174.
• G. Cassella, M. Lavine, and C. P. Robert (2001). Explaining the Perfect Sampler. The American Statistician, 55-4:299-305.

• Markov Chain Monte Carlo and Gibbs Sampling by B. Walsh (2004)
• MCMC Sampling (slide) by T. Bahadori (2011)