Is the NUTS algorithm correct?

Published 4 May 2020 in stat.CO, cs.NA, and math.NA | (2005.01336v2)

Abstract: This paper is devoted to investigate whether the popular No U-turn (NUTS) sampling algorithm is correct, i.e.\ whether the target probability distribution is \emph{exactly} conserved by the algorithm. It turns out that one of the Gibbs substeps used in the algorithm cannot always be guaranteed to be correct.

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Authors (1)

J. M. Sanz-Serna

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