Autori
Mira, Antonietta
Leisen, Fabrizio

Titolo
Coalescence time and second largest eigenvalue modulus in the monotone reversible case
Periodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2006 - Fascicolo: 11 - Pagina iniziale: 1 - Pagina finale: 12

If T is the coalescence time of the Propp and Wilson [15], perfect simulation algorithm, the aim of this paper is to show that T depends on the second largest eigenvalue modulus of the transition matrix of the underlying Markov chain. This gives a relationship between the ordering based on the speed of convergence to stationarity in total variation distance and the ordering defined in terms of speed of coalescence in perfect simulation.



Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2006_11.pdf

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