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Ordering and improving Monte Carlo Markov chains performance

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Author Info
Mira Antonietta () (Department of Economics, University of Insubria, Italy)
Abstract

An overview of ordering defined on the space of Markov chains having a pre-specified distribution as their unique stationary distribution is provided. The intuition gained by studying these orderings is used to improve existing Markov chain Monte Carlo algorithms.

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File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2002_2.pdf
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Publisher Info
Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0202.

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Length: 13 pages
Date of creation: Jan 2002
Date of revision:
Handle: RePEc:ins:quaeco:qf0202

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Related research
Keywords: Asymptotic variance; convergence ordering; covariance ordering; efficiency ordering; Markov chain Monte Carlo; Metropolis-Hastings algorithm; Peskun ordering;

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This page was last updated on 2009-11-27.

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