Efficiency of finite state space Monte Carlo Markov chains

DOI10.1016/S0167-7152(01)00115-8MaRDI QIDQ5953883zbMATH OpenOpenAlexWikidataFDO

Authors 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

efficiency orderingMarkov chain Monte CarloMetropolis-Hastings algorithmPeskun orderingstationarity preserving and efficiency increasing probability mass transfers

Mathematics Subject Classification ID

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

Recommendations

• Ordering and improving the performance of Monte Carlo Markov chains.
• Stationarity preserving and efficiency increasing probability mass transfers made possible
• Algorithms for improving efficiency of discrete Markov chains
• Markov chain Monte Carlo on finite state spaces
• General state space Markov chains and MCMC algorithms

Cites work

• A note on Metropolis-Hastings kernels for general state spaces
• Accelerating Gaussian diffusions
• Analysis of a nonreversible Markov chain sampler.
• scientific article; zbMATH DE number 1222286 (Why is no real title available?)
• scientific article; zbMATH DE number 472922 (Why is no real title available?)
• scientific article; zbMATH DE number 1560252 (Why is no real title available?)
• Markov chains for exploring posterior distributions. (With discussion)
• Optimal spectral structure of reversible stochastic matrices, Monte Carlo methods and the simulation of Markov random fields
• Optimum Monte-Carlo sampling using Markov chains

Cited in

(9)

• Ordering and improving the performance of Monte Carlo Markov chains.
• Designing simple and efficient Markov chain Monte Carlo proposal kernels
• Algorithms for improving efficiency of discrete Markov chains
• Stationarity preserving and efficiency increasing probability mass transfers made possible
• The order of degeneracy of Markov chain Monte Carlo method
• Improving the convergence of reversible samplers
• scientific article; zbMATH DE number 927299 (Why is no real title available?)
• Variance reduction for diffusions
• Dependence ordering for Markov processes on partially ordered spaces

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