Guidelines for choosing the transition matrix in Monte Carlo methods using Markov chains

DOI10.1016/0021-9991(81)90214-XzbMath0452.65003OpenAlexW1967079682MaRDI QIDQ1148649

P. H. Peskun

Publication date: 1981

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(81)90214-x

zbMATH Keywords

transition probabilitiesasymptotic variance reductionMarkov chain sampling method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

A short history of Markov chain Monte Carlo: Subjective recollections from incomplete data

Cites Work

• Unnamed Item
• Optimum Monte-Carlo sampling using Markov chains
• Finite Continuous Time Markov Chains
• Equation of State Calculations by Fast Computing Machines
• Monte Carlo sampling methods using Markov chains and their applications

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