Today was the second day of the Statistical Frontiers of Astrophysics meeting in Tokyo. Among other very interesting talks, Xiao-Li Meng and Paul Baines worked us through some ideas in the modern use of MCMC. They are particularly interested in problems of data augmentation, where parameters are introduced for every data point (that is, there are more parameters than data points). They had a number of basic ideas for MCMC that are almost always a good idea; I have lots to do to my code when I get home (and lots of new literature to read).
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