Covariance and relaxation time in finite Markov chains
نویسندگان
چکیده
منابع مشابه
Covariance Ordering for Discrete and Continuous Time Markov Chains
The covariance ordering, for discrete and continuous time Markov chains, is defined and studied. This partial ordering gives a necessary and sufficient condition for MCMC estimators to have small asymptotic variance. Connections between this ordering, eigenvalues, and suprema of the spectrum of the Markov transition kernel, are provided. A representation of the asymptotic variance of MCMC estim...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 1998
ISSN: 1048-9533,1687-2177
DOI: 10.1155/s104895339800032x