Building the Main Book PDF
The entire book can be created using the Build->Book (Color Hyperlinked PDF) menu item. Since the jmlr and jmlrbook classes use the hyperref package, the resulting PDF will have hyperlinks and a set of PDF bookmarks. You may find the bookmark package better at forming the bookmarks, but that package must be loaded last. Note that although you need to build the entire book in order for MakeJmlrBookGUI to build all the standalone articles with the correct page numbering, you shouldn't send the entire book PDF to the PMLR production editor. (Instead, just send the .zip file containing the articles and .bib file as described in Create Proceedings zip File.)