Query:
faculty: "FEB" and publication year: "2003"
| Authors | A. Mira, P.H. Omtzigt | | Title | Stationary preserving and efficiency increasing probability mass transfers made possible |
| Publisher | Department of Quantitative Economics |
| Place | Amsterdam |
| Year | 2003 |
| Pages | 11 |
| Title series | UvA Econometrics Discussion Paper |
| Series number | 2003/06 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | We develop an efficient computational algorithm that produces efficient Markov chain Monte Carlo (MCMC) transition matrices. The first level of efficiency is measured in terms of the number of operations needed to produce the resulting matrix. The second level of efficiency is evaluated in terms of the asymptotic variance of the resulting MCMC estimates. The idea is then extended from finite to general state spaces. |
| Document type | Report |
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