Importance sampling for markov chains: asymptotics for the variance

DOI10.1080/15326349408807318zbMath0815.62058OpenAlexW2001350107MaRDI QIDQ4314750

Peter W. Glynn

Publication date: 27 November 1994

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349408807318

zbMATH Keywords

importance samplingPerron-Frobenius theorydiscrete-event simulationscumulative costslikelihood ratio gradient estimatoranalysis of variance asymptoticsexponential rate constantsimulations of finite state Markov chainssteady-state coststerminal costs

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inference from stochastic processes (62M99) Eigenvalues, singular values, and eigenvectors (15A18) Probabilistic methods, stochastic differential equations (65C99)

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