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Variance Reduction Through Smoothing and Control Variates for Markov Chain Simulations.
Sigrún Andradóttir
Daniel P. Heyman
Teunis J. Ott
Published in:
ACM Trans. Model. Comput. Simul. (1993)
Keyphrases
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markov chain
variance reduction
monte carlo
importance sampling
random numbers
transition probabilities
monte carlo method
state space
confidence intervals
monte carlo simulation
stationary distribution
random walk
transition matrix
sample size
markov chain monte carlo
hidden markov models