Branching Technique for Markov Chain Simulation (Finite State Case)

DOI10.1080/02331889408802441zbMATH Open0811.62081OpenAlexW2018762601MaRDI QIDQ4763455FDOQ4763455

Authors: Viatcheslav B. Melas 

Publication date: 10 April 1995

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889408802441

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zbMATH Keywords

variance reductionsplitting methodM/M/1 queueing systemMarkov chains simulationoptimal numbers for branchingRussian roulette methodsimulation experimental designvariances of unbiased parameter estimates

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queueing theory (aspects of probability theory) (60K25)

Cites Work

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• Simulation methods of queues: An overview
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Cited In (2)

• The efficiency of variance reduction in manufacturing and service systems: the comparison of the control variates and stratified sampling
• Title not available (Why is that?)

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