# Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods

@article{Maire2013ComparisonOA, title={Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods}, author={Florian Maire and Randal Douc and Jimmy Olsson}, journal={arXiv: Methodology}, year={2013} }

In this paper, we study the asymptotic variance of sample path averages for inhomogeneous Markov chains that evolve alternatingly according to two different $\pi$-reversible Markov transition kernels $P$ and $Q$. More specifically, our main result allows us to compare directly the asymptotic variances of two inhomogeneous Markov chains associated with different kernels $P_i$ and $Q_i$, $i\in\{0,1\}$, as soon as the kernels of each pair $(P_0,P_1)$ and $(Q_0,Q_1)$ can be ordered in the sense of…

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