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 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
