most citedEfficiency and computability of MCMC with Langevin, Hamiltonian, and other matrix-splitting proposals

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math.PR2015★ 2 cited

Efficiency and computability of MCMC with Langevin, Hamiltonian, and other matrix-splitting proposals

Richard A. Norton, Colin Fox

We analyse computational efficiency of Metropolis-Hastings algorithms with AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MAL…