Computing Densities for Markov Chains via Simulation

DOI10.1287/moor.26.2.375.10562zbMath1082.62071OpenAlexW2149008764MaRDI QIDQ5704045

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)

Related Items (7)

Generalized Look-Ahead Methods for Computing Stationary Densities ⋮ Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations ⋮ Likelihood-look-ahead inference on the equilibrium distribution of Markov chains ⋮ Estimation of the stationary distribution of semi-Markov processes with Borel state space ⋮ Equilibrium storage with multiple commodities ⋮ Filtering, Prediction and Simulation Methods for Noncausal Processes ⋮ Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution

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