Simulation study to identify the characteristics of Markov chain properties

DOI10.1145/3361744zbMath1544.60076MaRDI QIDQ6600080

Peter Kemper, Atiqur Rahman

Publication date: 8 September 2024

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

zbMATH Keywords

entropyeigenvaluesensitivity analysistraceMonte Carlo simulationsobol indicesdiscrete-time Markov chainpartial correlation coefficientsMorris method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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