Stochastic monotonicity and conditional Monte Carlo for likelihood ratios

DOI10.2307/1427498MaRDI QIDQ5286069zbMATH OpenOpenAlexFDO

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

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)

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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
• scientific article; zbMATH DE number 3928082 (Why is no real title available?)
• Efficiency improvement techniques
• scientific article; zbMATH DE number 1545166 (Why is no real title available?)

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