IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v49y2000i4p345-354.html
   My bibliography  Save this article

Smoothed Langevin proposals in Metropolis-Hastings algorithms

Author

Listed:
  • Skare, Øivind
  • Benth, Fred Espen
  • Frigessi, Arnoldo

Abstract

The Metropolis Adjusted Langevin Algorithm (MALA) samples from complex multivariate densities [pi]. The proposal density is based on a discretized version of a Langevin diffusion, and is well defined only for continuously differentiable densities [pi]. We propose a modified MALA algorithm when this condition is not fulfilled or when [pi] has very rapid variations. The algorithm is illustrated on the Strauss model, for which two different classes of smoothing are proposed. In these examples smoothing gives advantages in terms of reduced asymptotic variance.

Suggested Citation

  • Skare, Øivind & Benth, Fred Espen & Frigessi, Arnoldo, 2000. "Smoothed Langevin proposals in Metropolis-Hastings algorithms," Statistics & Probability Letters, Elsevier, vol. 49(4), pages 345-354, October.
    • Handle: RePEc:eee:stapro:v:49:y:2000:i:4:p:345-354
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(00)00067-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:49:y:2000:i:4:p:345-354. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.