I have also been interested in methods for the implementation of MCMC, including questions such as: How many iterations are needed? How many iterations should we skip for approximate independence? How can we set the variance parameters (potentially different ones for each simulated model parameter) in random walk Metropolis-Hastings? Steven Lewis and I proposed a three-simulation methodology for this (Raftery and Lewis 1992, 1996). The gibbsit software for doing this is freely available in Splus and Fortran, and is also part of the CODA convergence diagnostics and output analysis R package for MCMC.
Oh, M.-S. and Raftery, A.E. (2007). Model-based Clustering with Dissimilarities: A Bayesian Approach. Journal of Computational and Graphical Statistics, 16, 559-585.
Fraley, C. and Raftery, A.E. (2007). Bayesian Regularization for Normal Mixture Estimation and Model-Based Clustering. Journal of Classification, 24, 155-181.
Gottardo, R., Raftery, A.E., Yeung, K.Y. and Bumgarner, R.E. (2006). Robust Estimation of cDNA Microarray Intensities with Replicates. Journal of the American Statistical Association, 101, 30-40.
Gottardo, R., Raftery, A.E., Yeung, K.Y. and Bumgarner, R.E. (2006). Bayesian Robust Inference for Differential Gene Expression in cDNA Microarrays with Multiple Samples. Biometrics, 62, 10-18.
Fuentes, M. and Raftery, A.E. (2005). Model evaluation and spatial interpolation by Bayesian combination of observations with outputs from numerical models. Biometrics, 66, 36--45.
Byers, S.D. and Raftery, A.E. (2002). Bayesian Estimation and Segmentation of Spatial Point Processes using Voronoi Tilings. In Spatial Cluster Modelling (A.G. Lawson and D. G.T. Denison, eds.), London: Chapman and Hall/CRC Press. Earlier technical report version. (Postscript).
Hoff, P., Raftery, A.E. and Handcock, M.S. (2002). Latent Space Approaches to Social Network Analysis. Journal of the American Statistical Association, 97, 1090-1098.
Walsh, D.C.I and Raftery, A.E. (2002). Detecting mines in minefields with linear characteristics. Technometrics, 44, 34-44.
Oh, M.-S. and Raftery, A.E. (2001). Bayesian Multidimensional Scaling and Choice of Dimension. Journal of the American Statistical Association, 96, 1031-1044.
Lewis, S.M. and Raftery, A.E. (1999). Comparing explanations of fertility decline using event history models and unobserved heterogeneity. Sociological Methods and Research, 28, 35-60.
Raftery, A.E. and Zeh, J.E. (1998). Estimating bowhead whale, Balaena mysticetus, population size and rate of increase from the 1993 census. Journal of the American Statistical Association, 93, 451-463.
Petrone, S. and Raftery, A.E. (1997). A note on the Dirichlet process prior in Bayesian nonparametric inference with partial exchangeability. Statistics and Probability Letters, 36, 69-83.
Bensmail, H., Celeux, G., Raftery, A.E. and Robert, C. (1997). Inference in model-based cluster analysis. Statistics and Computing, 7, 1-10.
Kahn, M.J. and Raftery, A.E. (1996). Discharge rates of Medicare stroke patients to skilled nursing facilities: Bayesian logistic regression with unobserved heterogeneity. Journal of the American Statistical Association, 91, 29-41.
Raftery, A.E., Lewis, S.M., Aghajanian, A. and Kahn, M.J. (1996). Event history analysis of World Fertility Survey data. Mathematical Population Studies, 6, 129-153. Earlier technical report version (ps).
Raftery, A.E. and Lewis, S.M. (1996). Implementing MCMC. In Markov Chain Monte Carlo in Practice(W.R. Gilks, D.J. Spiegelhalter and S. Richardson, eds.), London: Chapman and Hall, pp. 115-130. Earlier version (ps).
Raftery, A.E. (1996). Hypothesis testing and model selection. In Markov Chain Monte Carlo in Practice(W.R. Gilks, D.J. Spiegelhalter and S. Richardson, eds.), London: Chapman and Hall, pp. 163--188. Earlier version (ps).
Raftery, A.E., Lewis, S.M. and Aghajanian, A. (1995). Demand or ideation? Evidence from the Iranian marital fertility decline. Demography, 32, 159-182.
Taplin, R.H. and Raftery, A.E. (1994). Analysis of agricultural field trials in the presence of outliers and fertility jumps. Biometrics, 50, 764-781.
Newton, M.A. and Raftery, A.E. (1994). Approximate Bayesian inference by the weighted likelihood bootstrap (with Discussion). Journal of the Royal Statistical Society, series B, 56, 3-48.
Raftery, A.E. and Schweder, T. (1993). Inference about the ratio of two parameters, with application to whale censusing. The American Statistician, 47, 259-264.
Raftery, A.E. and Zeh, J.E. (1993). Estimation of Bowhead Whale, Balaena mysticetus, population size (with Discussion). In Bayesian Statistics in Science and Technology: Case Studies (C. Gatsonis et al., eds.), New York: Springer-Verlag, pp. 163-240.
Raftery, A.E. and Lewis, S.M. (1992). How many iterations in the Gibbs sampler? In Bayesian Statistics 4 (J.M. Bernardo et al., editors), Oxford University Press, pp. 763-773. Earlier version (ps).
Raftery, A.E., Zeh, J.E., Yang, Q. and Styer, P.E. (1990). Bayes empirical Bayes interval estimation of bowhead whale, Balaena mysticetus, population size based upon the 1986 combined visual and acoustic census off Point Barrow, Alaska. Report of the International Whaling Commission, 40, 393-409.
Raftery, A.E. and Thompson, E.A. (1990). What is the probability of a serious nuclear reactor accident? Journal of Statistical Computation and Simulation, 36, 31-34.
Zeh, J.E., Turet, P., Gentleman, R. and Raftery, A.E. (1988). Population size estimation for the bowhead whale, Balaena mysticetus, based on 1985 and 1986 visual and acoustic data. Report of the International Whaling Commission, 38, 349-364.
Raftery, A.E., Turet, P. and Zeh, J.E. (1988). A parametric empirical Bayes approach to interval estimation of bowhead whales, Balaena mysticetus, population size. Report of the International Whaling Commission, 38, 377-388.
Raftery, A.E. and Thompson, E.A. (1988). How many nuclear reactor accidents? Journal of Statistical Computation and Simulation, 29, 347-350.
Raftery, A.E. (1988). Inference and prediction for the binomial N parameter: A hierarchical Bayes approach. Biometrika, 75, 223-228.
Updated May 22, 2008