Exact estimation for Markov chain equilibrium expectations

DOI10.1239/jap/1417528487zbMath1312.65003arXiv1409.4302OpenAlexW2074711122MaRDI QIDQ5245637

Chang-Han Rhee, Peter W. Glynn

Publication date: 14 April 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.4302

zbMATH Keywords

unbiased estimationMonte Carlo methodexact samplingperfect simulationexact simulationperfect samplingexact estimationMarkov chain equilibrium expectationMarkov chain stationary expectation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

• Markov chains and stochastic stability
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