Some asymptotic formulas for markov chains with applications to simulation†

DOI10.1080/00949658408810721zbMath0585.60072OpenAlexW2075649026MaRDI QIDQ3709564

Peter W. Glynn

Publication date: 1984

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658408810721

zbMATH Keywords

stationary distributionirreducible Markov chainssteady-state simulationscaling conjecturespectral density of the Markov chain

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (6)

Means and variances of time averages in Markovian environments ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ Analysis of Markov Influence Graphs ⋮ Estimating the steady-state mean from short transient simulations ⋮ A Martingale Approach to Regenerative Simulation ⋮ Autocorrelations in infinite server batch arrival queues

Cites Work

• Regenerative stochastic processes
• Formulas for the variance of the sample mean in finite state markov processes
• Detecting Initialization Bias in Simulation Output
• Discrete time methods for simulating continuous time Markov chains
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Some asymptotic formulas for markov chains with applications to simulation^†