Preconditioned Crank–Nicolson algorithm

The preconditioned Crank–Nicolson algorithm, or pCN algorithm, uses a Gaussian autoregressive proposal reversible with respect to a standard normal distribution in a Metropolis–Hastings algorithm. When the target density is a likelihood times the proposal's invariant Gaussian prior density, the Gaussian factors cancel from the Metropolis–Hastings acceptance probability, leaving the likelihood ratio.