An Adaptive Version for the Metropolis Adjusted Langevin Algorithm with a Truncated Drift
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References listed on IDEAS
- Jarner, Søren Fiig & Hansen, Ernst, 2000. "Geometric ergodicity of Metropolis algorithms," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 341-361, February.
- James Davidson & Robert de Jong, 1997. "Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 251-279.
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- Param Vir Singh & Nachiketa Sahoo & Tridas Mukhopadhyay, 2014. "How to Attract and Retain Readers in Enterprise Blogging?," Information Systems Research, INFORMS, vol. 25(1), pages 35-52, March.
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More about this item
KeywordsMarkov Chain Monte Carlo; Stochastic approximation algorithms; Metropolis Adjusted Langevin algorithm; geometric rate of convergence.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-18 (All new papers)
- NEP-CMP-2005-07-18 (Computational Economics)
- NEP-ECM-2005-07-18 (Econometrics)
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