How Markov’s Little Idea Transformed Statistics

Jeffrey S. Rosenthal ()
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Jeffrey S. Rosenthal: University of Toronto

A chapter in Handbook of the History and Philosophy of Mathematical Practice, 2024, pp 1371-1381 from Springer

Abstract: Abstract We discuss Andrey Andreyevich Markov’s early twentieth century idea of a Markov chain, which generalized the traditional notion of independent random variables to a model that was more general but still mathematical tractable. We then describe how that led to the hugely popular modern statistical approach of using Markov chain Monte Carlo algorithms to estimate complicated quantities such as Bayesian posterior distributions.

Keywords: Markov chain; Monte Carlo algorithms; Metropolis algorithm; MCMC; Andrey Andreyevich Markov (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-40846-5_104

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DOI: 10.1007/978-3-031-40846-5_104

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