ASYMPTOTIC VARIANCE OF PASSAGE TIME ESTIMATORS IN MARKOV CHAINS

DOI10.1017/S0269964807070143zbMath1111.62068OpenAlexW2092106245MaRDI QIDQ3444649

Michael A. Zazanis

Publication date: 4 June 2007

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964807070143

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Markov chain sensitivity measured by mean first passage times
• Using permutations in regenerative simulations to reduce variance
• Sensitivity of the Stationary Distribution of a Markov Chain
• Perturbation realization, potentials, and sensitivity analysis of Markov processes
• Taylor series expansions for stationary Markov chains

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