= Preconditioned Crank–Nicolson algorithm
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= pCN algorithm
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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.
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