An extension of Peskun ordering to continuous time Markov chains

Leisen Fabrizio () and Mira Antonietta ()
Additional contact information
Leisen Fabrizio: Università di Modena e Reggio Emilia, Dipartimento di Matematica, Modena, Italy
Mira Antonietta: Department of Economics, University of Insubria, Italy

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

Abstract: Peskun ordering is a partial ordering defined on the space of transition matrices of discrete time Markov chains. If the Markov chains are reversible with respect to a common stationary distribution "greek Pi", Peskun ordering implies an ordering on the asymptotic variances of the resulting Markov chain Monte Carlo estimators of integrals with respect to "greek Pi". Peskun ordering is also relevant in the framework of time-invariance estimating equations in that it provides a necessary condition for ordering the asymptotic variances of the resulting estimators. In this paper Peskun ordering is extended from discrete time to continuous time Markov chains. Key words and phrases: Peskun ordering, Covariance ordering, Effciency ordering, MCMC, time-invariance estimating equations, asymptotic variance, continuous time Markov chains.

Pages: 12 pages
Date: 2006-07
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.eco.uninsubria.it/RePEc/pdf/QF2006_10.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0610

Access Statistics for this paper

More papers in Economics and Quantitative Methods from Department of Economics, University of Insubria Contact information at EDIRC.
Bibliographic data for series maintained by Segreteria Dipartimento ().