On the Choice of Alternative Measures in Importance Sampling with Markov Chains
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Publication:4861366
DOI10.1287/opre.43.3.509zbMath0842.60072MaRDI QIDQ4861366
Sigrún Andradóttir, Teunis J. Ott, Daniel P. Heyman
Publication date: 1 August 1996
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.43.3.509
likelihood ratio; simulation of Markov chains; distribution of the logarithm of the likelihood ratio; sample path length
62D05: Sampling theory, sample surveys
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
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