Simulation from quasi-stationary distributions on reducible state spaces

DOI10.1017/APR.2017.28MaRDI QIDQ5233196zbMATH OpenOpenAlexFDO

Authors A. Griffin, Paul A. Jenkins, Gareth O. Roberts, Simon E. F. Spencer

Publication date 16 September 2019

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.01872

zbMATH Keywords

sequential Monte Carlosimulationresampling methodquasi-stationary distributionlimiting conditional distribution

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: Quasi-stationary distributions (QSDs)arise from stochastic processes that exhibit transient equilibrium behaviour on the way to absorption QSDs are often mathematically intractable and even drawing samples from them is not straightforward. In this paper the framework of Sequential Monte Carlo samplers is utilized to simulate QSDs and several novel resampling techniques are proposed to accommodate models with reducible state spaces, with particular focus on preserving particle diversity on discrete spaces. Finally an approach is considered to estimate eigenvalues associated with QSDs, such as the decay parameter.

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Cited in

(6)

• An epidemic model for an evolving pathogen with strain-dependent immunity
• Theoretical properties of quasi-stationary Monte Carlo methods
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• Bootstrap maximum likelihood for quasi-stationary distributions
• Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions
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