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CLTs and asymptotic variance of time-sampled Markov chains
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Łatuszyński, Krzysztof and Roberts, Gareth O. (2013) CLTs and asymptotic variance of time-sampled Markov chains. Methodology and Computing in Applied Probability, Volume 15 (Number 1). pp. 237-247. doi:10.1007/s11009-011-9237-8 ISSN 1387-5841.
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Official URL: http://dx.doi.org/10.1007/s11009-011-9237-8
Abstract
For a Markov transition kernel P and a probability distribution μ on nonnegative integers, a time-sampled Markov chain evolves according to the transition kernel Pμ = ∑k μ(k)Pk. In this note we obtain CLT conditions for time-sampled Markov chains and derive a spectral formula for the asymptotic variance. Using these results we compare efficiency of Barker's and Metropolis algorithms in terms of asymptotic variance.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Methodology and Computing in Applied Probability | ||||
Publisher: | Springer | ||||
ISSN: | 1387-5841 | ||||
Official Date: | March 2013 | ||||
Dates: |
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Volume: | Volume 15 | ||||
Number: | Number 1 | ||||
Page Range: | pp. 237-247 | ||||
DOI: | 10.1007/s11009-011-9237-8 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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