Accurate Monte Carlo estimation of very small p-values in Markov chains

MaRDI QIDQ1297844zbMATH OpenFDO

Authors John W. Wilbur

Publication date 14 September 1999

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

algorithmdiscrete Markov chainprobability densityprotein threading modelsmall probabilitytail probability

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Biochemistry, molecular biology (92C40)

Review text

The author proposed an algorithm that enable one to calculate very small \(p\)-values of, for instance, tail probabilities connected with probability density \(p(x)\) for some complicated random models that can be realized as a Markov process. The main idea is to represent a probability density \(p(x)\) as the equilibrium state for a finite time homogeneous discrete Markov chain. Such an approach is illustrated by three examples, particularly, including the protein threading model.

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Cited in

(4)

• The combinatorics and extreme value statistics of protein threading
• Monte Carlo study of forward stepwise discrimination based on small samples
• scientific article; zbMATH DE number 847098 (Why is no real title available?)
• Hastings-Metropolis algorithm on Markov chains for small-probability estimation

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