Variance reduction for diffusions
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References listed on IDEAS
- Mira, Antonietta, 2001. "Efficiency of finite state space Monte Carlo Markov chains," Statistics & Probability Letters, Elsevier, vol. 54(4), pages 405-411, October.
- Pai, Hui-Ming & Hwang, Chii-Ruey, 2013. "Accelerating Brownian motion on N-torus," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1443-1447.
- Chen, Ting-Li & Hwang, Chii-Ruey, 2013. "Accelerating reversible Markov chains," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1956-1962.
More about this item
KeywordsAsymptotic variance; Rate of convergence; Diffusion; Acceleration; Markov Chain Monte Carlo;
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