Efficiency of finite state space Monte Carlo Markov chains

DOI10.1016/S0167-7152(01)00115-8zbMath0989.60066OpenAlexW2088129467WikidataQ127255307 ScholiaQ127255307MaRDI QIDQ5953883

Antonietta Mira

Publication date: 29 July 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00115-8

zbMATH Keywords

Markov chain Monte CarloMetropolis-Hastings algorithmefficiency orderingPeskun orderingstationarity preserving and efficiency increasing probability mass transfers

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (5)

Designing simple and efficient Markov chain Monte Carlo proposal kernels ⋮ Improving the convergence of reversible samplers ⋮ Variance reduction for diffusions ⋮ Stationarity preserving and efficiency increasing probability mass transfers made possible ⋮ Dependence ordering for Markov processes on partially ordered spaces

Cites Work

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• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• A note on Metropolis-Hastings kernels for general state spaces
• Accelerating Gaussian diffusions
• Analysis of a nonreversible Markov chain sampler.
• Markov chains for exploring posterior distributions. (With discussion)
• Optimum Monte-Carlo sampling using Markov chains

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