Autori: Mira, Antonietta , Leisen, Fabrizio
Titolo: An extension of Peskun ordering to continous time Markov chains
Periodico: Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2006 - Fascicolo: 10 - Pagina iniziale: 1 - Pagina finale: 8

Peskun ordering is a partial ordering defined on the space of transition matrices of discrete time Markov chains. If the Markov chains are reversible with respect to a common stationary distribution ð, Peskun ordering implies an ordering on the asymptotic variances of the resulting Markov chain Monte Carlo estimators of integrals with respect to ð. Peskun ordering is also relevant in the framework of time-invariance estimating equations in that it provides a necessary condition for ordering the asymptotic variances of the resulting estimators. In this paper Peskun ordering is extended from discrete time to continuous time Markov chains.


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Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2006_10.pdf

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