Computing Densities for Markov Chains via Simulation

DOI10.1287/MOOR.26.2.375.10562MaRDI QIDQ5704045zbMATH OpenOpenAlexFDO

Authors Shane G. Henderson, Peter W. Glynn

Publication date 11 November 2005

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/1ba90340485a54de350ee426e00efb4de2df8eef

zbMATH Keywords

Markov chain, density estimator, simulation

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(8)

• Likelihood-look-ahead inference on the equilibrium distribution of Markov chains
• Estimation of the stationary distribution of semi-Markov processes with Borel state space
• Filtering, prediction and simulation methods for noncausal processes
• Generalized look-ahead methods for computing stationary densities
• Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution
• Stationary distributions of continuous-time Markov chains: a review of theory and truncation-based approximations
• Simulating tail asymptotics of a Markov chain
• Equilibrium storage with multiple commodities

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