Ordering and Improving the Performance of Monte Carlo Markov Chains

Antonietta Mira

doi:10.1214/ss/1015346319

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Home > Journals > Statist. Sci. > Volume 16 > Issue 4 > Article

November 2001 Ordering and Improving the Performance of Monte Carlo Markov Chains

Antonietta Mira

Statist. Sci. 16(4): 340-350 (November 2001). DOI: 10.1214/ss/1015346319

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Abstract

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.

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Antonietta Mira. "Ordering and Improving the Performance of Monte Carlo Markov Chains." Statist. Sci. 16 (4) 340 - 350, November 2001. https://doi.org/10.1214/ss/1015346319

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Published: November 2001

First available in Project Euclid: 5 March 2002

zbMATH: 1127.60312

MathSciNet: MR1888449

Digital Object Identifier: 10.1214/ss/1015346319

Keywords: asymptotic variance , convergence ordering , covariance ordering , efficiency ordering , Metropolis–Hastings algorithm , Peskun ordering , reversible jumps

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Statist. Sci.

Vol.16 • No. 4 • November 2001

Institute of Mathematical Statistics

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Antonietta Mira "Ordering and Improving the Performance of Monte Carlo Markov Chains," Statistical Science, Statist. Sci. 16(4), 340-350, (November 2001)

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