Variance reduction for additive functionals of Markov chains via martingale representations.
Denis BelomestnyEric MoulinesSergey SamsonovPublished in: Stat. Comput. (2022)
Keyphrases
- markov chain
- variance reduction
- monte carlo
- importance sampling
- random numbers
- confidence intervals
- gradient estimation
- finite state
- transition probabilities
- bias variance decomposition
- random walk
- state space
- sample size
- special case
- transition matrix
- probabilistic automata
- higher order
- markov chain monte carlo
- markov processes
- uniformly distributed
- naive bayes classifier
- pairwise
- optimal solution
- image segmentation