Tutorial and Review Papers on MCMC

Besag, J., Green, P., Higdon, D., and Mengersen, K. (1995), "Bayesian Computation and Stochastic Systems," Statistical Science, 10(1), 3–66.

Casella, G. and George, E. (1992), "Explaining the Gibbs Sampler," The American Statistician, 46, 167–174.

Chib, S. and Greenberg, E. (1995), "Understanding the Metropolis-Hastings Algorithm," The American Statistician, 49, 327–335.

Chib, S. and Greenberg, E. (1996), "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, 12, 409–431.

Kass, R. E., Carlin, B. P., Gelman, A., and Neal, R. M. (1998), "Markov Chain Monte Carlo in Practice: A Roundtable Discussion," Statistical Science, 52(2), 93–100.