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Efficiency of finite state space Monte Carlo Markov chains

✍ Scribed by Antonietta Mira

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
85 KB
Volume
54
Category
Article
ISSN
0167-7152

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✦ Synopsis

The class of ΓΏnite state space Markov chains, stationary with respect to a common pre-speciΓΏed distribution, is considered. An easy-to-check partial ordering is deΓΏned on this class. The ordering provides a su cient condition for the dominating Markov chain to be more e cient. E ciency is measured by the asymptotic variance of the estimator of the integral of a speciΓΏc 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 e ciency is deΓΏned and studied.

πŸ“œ SIMILAR VOLUMES

Quasi-Monte Carlo methods for Markov cha
Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space
✍ R. El Haddad; C. LΓ©cot; P. L’Ecuyer; N. Nassif πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 297 KB

We describe a quasi-Monte Carlo method for the simulation of discrete time Markov chains with continuous multi-dimensional state space. The method simulates copies of the chain in parallel. At each step the copies are reordered according to their successive coordinates. We prove the convergence of t