Markov models for digraph panel data: Monte Carlo-based derivative estimation

DOI10.1016/J.CSDA.2006.07.014MaRDI QIDQ1020109zbMATH OpenOpenAlexFDO

Authors Michael Schweinberger, Tom A. B. Snijders

Publication date 29 May 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2006.07.014

zbMATH Keywords

continuous-time Markov processcontrol variatesdigraphsgradient estimationlikelihood ratio/score function methodvariance reduction

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Recommendations

• The Analysis of Panel Data Under a Markov Assumption
• Discrete-time ``inversion and derivative estimation for Markov chains
• Derivative Estimates from Simulation of Continuous-Time Markov Chains
• Maximum likelihood estimation for social network dynamics
• Analytic derivatives of the matrix exponential for estimation of linear continuous-time models.

Cites work

• A dynamic model for social networks†
• A new class of random number generators
• A Stochastic Approximation Method
• Analyzing Social Networks As Stochastic Processes
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• scientific article; zbMATH DE number 3549966 (Why is no real title available?)
• scientific article; zbMATH DE number 1249686 (Why is no real title available?)
• scientific article; zbMATH DE number 847272 (Why is no real title available?)
• scientific article; zbMATH DE number 854710 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• Likelihood ratio gradient estimation for stochastic recursions
• SAMPLING WITH CONTROL VARIABLES
• Testing Statistical Hypotheses
• The score function approach for sensitivity analysis of computer simulation models

Cited in

(5)

• Contemporaneous statistics for estimation in stochastic actor-oriented co-evolution models
• Assessing and accounting for time heterogeneity in stochastic actor oriented models
• Network dynamics with a nested node set: Sociability in seven villages in Senegal
• Statistical inference for continuous‐time Markov processes with block structure based on discrete‐time network data
• Maximum likelihood estimation for social network dynamics

This page was built for publication: Markov models for digraph panel data: Monte Carlo-based derivative estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1020109)