An adaptive version for the Metropolis adjusted Langevin algorithm with a truncated drift
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Publication:2433262
DOI10.1007/S11009-006-8550-0zbMATH Open1104.65004OpenAlexW2075954168MaRDI QIDQ2433262FDOQ2433262
Authors: Yves F. Atchadé 
Publication date: 27 October 2006
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-8550-0
Recommendations
convergenceMetropolis-Hastings algorithmnumerical examplesquasi-Monte Carlo algorithmAdaptive Markov chain Monte CarloLangevin algorithmsStochastic approximation algorithm
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)
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- Forecasting transaction counts with integer-valued GARCH models
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