Journal article
Langevin Diffusions and Metropolis-Hastings Algorithms
Methodology and computing in applied probability, Vol.4(4), p.337
12/01/2002
DOI: 10.1023/A:1023562417138
Abstract
Byline: G. O. Roberts (1), O. Stramer (2) Keywords: MCMC; Langevin diffusions and algorithms We consider a class of Langevin diffusions with state-dependent volatility. The volatility of the diffusion is chosen so as to make the stationary distribution of the diffusion with respect to its natural clock, a heated version of the stationary density of interest. The motivation behind this construction is the desire to construct uniformly ergodic diffusions with required stationary densities. Discrete time algorithms constructed by Hastings accept reject mechanisms are constructed from discretisations of the algorithms, and the properties of these algorithms are investigated. Author Affiliation: Article History: Registration Date: 09/10/2004
Details
- Title: Subtitle
- Langevin Diffusions and Metropolis-Hastings Algorithms
- Creators
- G. O Roberts - Lancaster UniversityO Stramer - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Methodology and computing in applied probability, Vol.4(4), p.337
- Publisher
- Springer
- DOI
- 10.1023/A:1023562417138
- ISSN
- 1387-5841
- eISSN
- 1573-7713
- Language
- English
- Date published
- 12/01/2002
- Description audience
- Academic
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257608502771
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