[R] simulating from Langevin distributions
Ranjan Maitra
maitra at iastate.edu
Tue Feb 13 19:04:25 CET 2007
Dear all,
I have been looking for a while for ways to simulate from Langevin distributions and I thought I would ask here. I am ok with finding an algorithmic reference, though of course, a R package would be stupendous!
Btw, just to clarify, the Langevin distribution with (mu, K), where mu is a vector and K>0 the concentration parameter is defined to be:
f(x) = exp(K*mu'x) / const where both mu and x are p-variate vectors with norm 1.
For p=2, this corresponds to von-Mises (for which algorithms exist, including in R/Splus) while for p=3, I believe it is called the Fisher distribution. I am looking for general p.
Can anyone please help in this?
Many thanks and best wishes,
Ranjan
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