Journal
STATISTICAL SCIENCE
Volume 16, Issue 4, Pages 340-350Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/ss/1015346319
Keywords
asymptotic variance; convergence ordering; covariance ordering; efficiency ordering; Metropolis-Hastings algorithm; Peskun ordering; reversible jumps
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An overview of orderings defined on the space of Markov chains having a prespecified unique stationary distribution is given. The intuition gained by studying these orderings is used to improve existing Markov chain Monte Carlo algorithms.
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