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Stationary preserving and efficiency increasing probability mass transfer made possible

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

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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.

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File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2003_32.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 qf0313.

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Length: 12 pages
Date of creation: Oct 2003
Date of revision:
Handle: RePEc:ins:quaeco:qf0313

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Related research
Keywords: Asymptotic efficiency of MCMC estimates; metropolis-hasting; Stationary preserving and efficiency increasing probability mass transfer.;

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

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