[levesque]

David Mackay covers MCMC in his exhaustive book titled "Information Theory, Inference, and Learning Algorithms" available for free here: http://www.inference.phy.cam.ac.uk/itprnn/book.html

They are covered near the end of the book. It should be enough to familarize yourself with and understand the basic concepts of MCMC. Anything more in-depth will require a strong mathematical background.

BTW : There are probably a ton of books that cover MCMC out there - that's just one I liked and which is freely downloadable.

[gtani]

You can also get a PDF of Barber's BRML or look in Murphys ML text, which isn't freely available as PDF

Check inside title page, make sure you get 3rd printing of Murphy's: http://www.cs.ubc.ca/~murphyk/MLbook/errata.html

http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=...

[gtt]

I have some background (grad student in cfd, thinking about switching to some sort of data analysis later on) but my measure theory and probability skills are rusty (on the other hand numerical linear algebra, functional calculus and complex analysis are superb). What would be a good book for my level?

[mariuskempe]

You'll have no trouble.

[mariuskempe]

I'm sorry! I misread your question as 'Would this be a good book for my level?'.

[blake8086]

I can honestly say this book changed the way I think about everything. I can't recommend it highly enough.