CLTs and Asymptotic Variance of Time-Sampled Markov Chains
نویسندگان
چکیده
منابع مشابه
CLTs and asymptotic variance of time-sampled Markov chains
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)P k. 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...
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ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2011
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-011-9237-8