An adaptive approach to Langevin MCMC

作者：Marshall Tristan^*; Roberts Gareth

来源：Statistics and Computing, 2012, 22(5): 1041-1057.

DOI：10.1007/s11222-011-9276-6

• Adaptive Markov Chain Monte Carlo
• Langevin algorithm
• Metropolis-Hastings
• log-Gaussian Cox process

We consider a class of adaptive MCMC algorithms using a Langevin-type proposal density. We state and prove regularity conditions for the convergence of these algorithms. In addition to these theoretical results we introduce a number of methodological innovations that can be applied much more generally. We assess the performance of these algorithms with simulation studies, including an example of the statistical analysis of a point process driven by a latent log-Gaussian Cox process.

• 出版日期2012-9