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Holbrook et al., 2018 - Google Patents

Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

Holbrook et al., 2018

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Document ID
16560106292629285137
Author
Holbrook A
Lan S
Vandenberg-Rodes A
Shahbaba B
Publication year
Publication venue
Journal of statistical computation and simulation

External Links

Snippet

ABSTRACT We present geodesic Lagrangian Monte Carlo, an extension of Hamiltonian Monte Carlo for sampling from posterior distributions defined on general Riemannian manifolds. We apply this new algorithm to Bayesian inference on symmetric or Hermitian …
Continue reading at www.ncbi.nlm.nih.gov (HTML) (other versions)

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