Estimation of Stationary Densities for Markov Chains.
Peter W. GlynnShane G. HendersonPublished in: WSC (1998)
Keyphrases
- markov chain
- monte carlo simulation
- importance sampling
- steady state
- transition probabilities
- monte carlo
- random walk
- non stationary
- confidence intervals
- markov processes
- markov process
- finite state
- stochastic process
- probability density
- monte carlo method
- stationary distribution
- probabilistic automata
- markov model
- transition matrix
- objective function
- parameter estimation
- state space
- probability distribution
- optimal solution