Ordering and improving Monte Carlo Markov chains performance

Mira Antonietta ()
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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: An overview of ordering defined on the space of Markov chains having a pre-specified distribution as their unique stationary distribution is provided. The intuition gained by studying these orderings is used to improve existing Markov chain Monte Carlo algorithms.

Keywords: Asymptotic variance; convergence ordering; covariance ordering; efficiency ordering; Markov chain Monte Carlo; Metropolis-Hastings algorithm; Peskun ordering (search for similar items in EconPapers)
Pages: 13 pages
Date: 2002-01
New Economics Papers: this item is included in nep-cmp and nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0202

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