Covariance ordering for discrete and continuous time Markov chains

MaRDI QIDQ5323632zbMATH OpenFDO

Authors Antonietta Mira, Fabrizio Leisen

Publication date 23 July 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N2/j19n213/j19n213.html

zbMATH Keywords

asymptotic varianceefficiencyMCMCtime-invariant estimating equations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Recommendations

• An extension of Peskun and Tierney orderings to continuous time Markov chains
• A note on variance bounding for continuous time Markov chains
• Ordering and improving the performance of Monte Carlo Markov chains.
• Estimation of the Asymptotic Variance in the CLT for Markov Chains
• Dependence ordering for Markov processes on partially ordered spaces

Cited in

(9)

• A Metropolis-class sampler for targets with non-convex support
• Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering
• Accelerating reversible Markov chains
• An extension of Peskun and Tierney orderings to continuous time Markov chains
• Comparison of hit-and-run, slice sampler and random walk Metropolis
• The variance constant for continuous-time level dependent quasi-birth-and-death processes
• A note on variance bounding for continuous time Markov chains
• Optimal Markov chain Monte Carlo sampling

This page was built for publication: Covariance ordering for discrete and continuous time Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5323632)