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Langevin diffusions and the Metropolis-adjusted Langevin algorithm

  • Published:2014-08 Issue: Volume:91 Page:14-19
  • ISSN:0167-7152
  • Container-title:Statistics & Probability Letters
  • language:en
  • Short-container-title:Statistics & Probability Letters

Author:

Xifara T.ORCID,Sherlock C.,Livingstone S.ORCID,Byrne S.,Girolami M.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference11 articles.

1. Stochastic Calculus: A Practical Introduction Probability and Stochastics Series;Durrett,1996

2. Geometric measure theory;Federer,1969

3. Markov Chain Monte Carlo in Practice;Gilks,1996

4. Riemann manifold Langevin and Hamiltonian Monte Carlo methods;Girolami;J. Roy. Statist. Soc. Ser. B Stat. Methodol.,2011

5. Time-reversible diffusions;Kent;Adv. Appl. Probab.,1978

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