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Efficiency of finite state space Monte Carlo Markov Chains

Author

Listed:
  • Mira Antonietta

    (Department of Economics, University of Insubria, Italy)

Abstract

The class of finite state space Markov chains stationary with respect to a common pre-specified distribution is considered. An easy to check partial ordering is defined on this class. The ordering provides a sufficient condition for the dominating Markov chain to be more efficient. Efficiency is measured by the asymptotic variance of the estimator of the integral of a specific function with respect to the stationary distribution of the chains. A class of transformations that, when applied to a transition matrix, preserves its stationary distribution and improves its efficiency is defined and studied.

Suggested Citation

  • Mira Antonietta, "undated". "Efficiency of finite state space Monte Carlo Markov Chains," Economics and Quantitative Methods qf0001, Department of Economics, University of Insubria.
    • Handle: RePEc:ins:quaeco:qf0001
    as

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