Stationary preserving and efficiency increasing probability mass transfer made possible

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.

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Year of publication:	2003-10
Authors:	Antonietta, Mira ; Pieter, Omtzigt
Institutions:	Facoltà di Economia, Università degli Studi dell'Insubria
Subject:	Asymptotic efficiency of MCMC estimates \| metropolis-hasting \| Stationary preserving and efficiency increasing probability mass transfer

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Extent:	application/pdf
Series:	Economics and Quantitative Methods.
Type of publication:	Book / Working Paper
Language:	Italian
Notes:	12 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005612157