This is a corrigendum to a paper originally authored by Michael Sørensen and Mogens Bladt.
Abstract
We correct an error in Theorem 2.1 in Bladt and Sørensen (2014), where the initial distribution of an auxiliary diffusion process that is used to describe the distribution of the proposed approximate diffusion bridge is wrong. As a consequence, we also correct the pseudo marginal Metropolis-Hastings algorithm that has an exact diffusion bridge as its target distribution. The same auxiliary diffusion plays a central role in the algorithm.
Additional info
The paper is available here.