- Stationary preserving and efficiency increasing probability mass transfers made possible
- Number of pages
- Amsterdam: Department of Quantitative Economics
- UvA Econometrics Discussion Paper
- Volume | Edition (Serie)
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- 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.
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.