Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers

DOI10.1137/S003613999427173XMaRDI QIDQ4337656zbMATH OpenOpenAlexFDO

Authors Liyi Dai

Publication date 26 May 1997

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s003613999427173x

zbMATH Keywords

simulationMarkov chainsderivative estimationinfinite horizondiscrete-time Markov chainregenerative structurescommon random numbervariance reduction in simulation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Minimax procedures in statistical decision theory (62C20) Sample path properties (60G17)

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Cited in

(3)

• Discrete-time ``inversion and derivative estimation for Markov chains
• From differential to difference importance measures for Markov reliability models
• scientific article; zbMATH DE number 4153744 (Why is no real title available?)

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