Stochastic monotonicity and conditional Monte Carlo for likelihood ratios

DOI10.2307/1427498zbMATH Open0774.65101OpenAlexW2333873593MaRDI QIDQ5286069FDOQ5286069

Authors: Paul Glasserman 

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.2307/1427498

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zbMATH Keywords

importance samplingstochastic orderingvariance reductionassociated random variablesmonotone likelihood ratiostochastic monotonicityconditional Monte Carlostochastically monotone Markov chainsPoisson-process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (9)

• Dealing with monotone likelihood in a model for speckled data
• On the principle of monotone likelihood and log-linear models
• A note on Monte Carlo maximization by the density ratio model
• Conditional Monte Carlo revisited
• Monte Carlo conditioning on a sufficient statistic
• Filtered Monte Carlo
• Title not available (Why is that?)
• Efficiency improvement techniques
• Title not available (Why is that?)

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