Stationary preserving and efficiency increasing probability mass transfer made possible

Mira Antonietta () and Pieter Omtzigt ()
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Mira Antonietta: Department of Economics, University of Insubria, Italy

Economics and Quantitative Methods from Department of Economics, University of Insubria

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.

Keywords: Asymptotic efficiency of MCMC estimates; metropolis-hasting; Stationary preserving and efficiency increasing probability mass transfer. (search for similar items in EconPapers)
Pages: 12 pages
Date: 2003-10
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0313

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