Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers

DOI10.1137/S003613999427173XzbMath0874.60064OpenAlexW2000308911MaRDI QIDQ4337656

Liyi Dai

Publication date: 26 May 1997

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s003613999427173x

zbMATH Keywords

infinite horizonsimulationMarkov chainsderivative estimationdiscrete-time Markov chainregenerative structurescommon random numbervariance reduction in simulation

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sample path properties (60G17)

Related Items (1)

From differential to difference importance measures for Markov reliability models

This page was built for publication: Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers