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Stationary preserving and efficiency increasing probability mass transfer made possible

Author

Listed:
  • Mira Antonietta

    (Department of Economics, University of Insubria, Italy)

  • Omtzigt Pieter

    (Department of Economics, University of Insubria, Italy)

Abstract

We develop an efficient computational algorithm that produces efficient Markov chain Monte Carlo (MCMC) transition matrices. The first level of efficinecy is measured in terms of the number of operations needed to produce the resulting matrix. The second level of efficiency is evaluaded in terms of the asymptotic variance of the resulting MCMC estimates. The idea is then extended from finite to general state space.

Suggested Citation

  • Mira Antonietta & Omtzigt Pieter, 2003. "Stationary preserving and efficiency increasing probability mass transfer made possible," Economics and Quantitative Methods qf0313, Department of Economics, University of Insubria.
    • Handle: RePEc:ins:quaeco:qf0313
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    File URL: https://www.eco.uninsubria.it/RePEc/pdf/QF2003_32.pdf
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