Exact estimation for Markov chain equilibrium expectations
type: Item
instance of: scholarly article
title: Exact estimation for Markov chain equilibrium expectations
zbMATH Open document ID: 1312.65003
author: Chang-Han Rhee
author: Peter W. Glynn
published in: Journal of Applied Probability
publication date: 2015-04-14T00:00:00Z
full work available at URL: https://arxiv.org/abs/1409.4302
full work available at URL: https://projecteuclid.org/euclid.jap/1417528487
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 60J22
zbMATH DE Number: 6425007
zbMATH Keywords: unbiased estimation
zbMATH Keywords: Markov chain equilibrium expectation
zbMATH Keywords: Markov chain stationary expectation
zbMATH Keywords: exact estimation
zbMATH Keywords: exact sampling
zbMATH Keywords: exact simulation
zbMATH Keywords: perfect sampling
zbMATH Keywords: perfect simulation
zbMATH Keywords: Monte Carlo method
MaRDI profile type: Publication
OpenAlex ID: W2074711122
arXiv ID: 1409.4302
cites work: Stochastic simulation: Algorithms and analysis
cites work: Stationarity detection in the initial transient problem
cites work: A New Approach to the Limit Theory of Recurrent Markov Chains
cites work: Stochastically recursive sequences and their generalizations
cites work: Perfect simulation for a class of positive recurrent Markov chains
cites work: Perfect sampling of ergodic Harris chains
cites work: Iterated Random Functions
cites work: Simulating the maximum of a random walk
cites work: Multilevel Monte Carlo Path Simulation
cites work: The Asymptotic Efficiency of Simulation Estimators
cites work: Geometric ergodicity and perfect simulation
cites work: Q4779128
cites work: A general method for debiasing a Monte Carlo estimator
cites work: Markov chains and stochastic stability
cites work: Exact sampling with coupled Markov chains and applications to statistical mechanics
cites work: Unbiased estimation with square root convergence for SDE models
cites work: Unbiased nonparametric estimation of the derivative of the mean
cites work: A class of unbiased kernel estimates of a probability density function
cites work: Q4943608
DOI: 10.1239/JAP/1417528487
description: scientific article; zbMATH DE number 6425007