Ordering and improving the performance of Monte Carlo Markov chains

被引：75

作者：

Mira, A ^{[1
]}

机构：

[1] Univ Insubria, Dept Econ, I-21100 Varese, Italy

来源：

STATISTICAL SCIENCE | 2001年 / 16卷 / 04期

关键词：

asymptotic variance; convergence ordering; covariance ordering; efficiency ordering; Metropolis-Hastings algorithm; Peskun ordering; reversible jumps;

D O I：

10.1214/ss/1015346319

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

An overview of orderings defined on the space of Markov chains having a prespecified unique stationary distribution is given. The intuition gained by studying these orderings is used to improve existing Markov chain Monte Carlo algorithms.

引用

页码：340 / 350

页数：11

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