Estimation of Markov Chain via Rank-constrained Likelihood.
Xudong LiMengdi WangAnru ZhangPublished in: CoRR (2018)
Keyphrases
- markov chain
- monte carlo simulation
- importance sampling
- steady state
- monte carlo
- finite state
- transition probabilities
- markov process
- state space
- monte carlo method
- markov model
- random walk
- stochastic process
- stationary distribution
- parameter estimation
- transition matrix
- maximum likelihood
- maximum likelihood estimation
- higher order
- objective function
- reinforcement learning
- gibbs sampler
- genetic algorithm