Importance sampling for indicator Markov chains.

Kay Giesecke Alexander D. Shkolnik

Published in: WSC (2010)

Keyphrases

markov chain
importance sampling
monte carlo
steady state
markov process
transition probabilities
stationary distribution
markov chain monte carlo
large deviations
random walk
state space
markov processes
variance reduction
bayesian networks
probabilistic automata
confidence intervals
particle filter