This short article by George Casella and Edward George, explains the nuts and bolts of a Gibbs sampler and answers the following questions in simple words :

  • What is a Gibbs sampler ?
  • Why was a there a need for such a sampling algorithm ?
  • When is it used ?
  • Why does it work ?
  • How is it related to Data Augmentation Algorithm ?
  • When does the algorithm fail ?
  • What are the fields where Gibbs sampling and Data Augmentation algo usage is exploding ?