Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152621 | Statistics & Probability Letters | 2014 | 6 Pages |
Abstract
We describe a Langevin diffusion with a target stationary density with respect to Lebesgue measure, as opposed to the volume measure of a previously-proposed diffusion. The two are sometimes equivalent but in general distinct and lead to different Metropolis-adjusted Langevin algorithms, which we compare.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
T. Xifara, C. Sherlock, S. Livingstone, S. Byrne, M. Girolami,