VARIANCE REDUCTION TECHNIQUES IN THE SIMULATION OF MARKOV PROCESSES
We study a functional r of the stationary distribution of a homogeneous Markov chain. It is often difficult or impossible to perform the analytical calculation of r and so it is reasonable to estimate r by a simulation process. A consistent estimator r(n) of r is obtained with respect to a chain with a countable state space. Suitably modifying the estimator r(n) of r one obtains a new consistent estimator which has a smaller variance than r(n). The same is obtained in the case of finite state space.
Bibliographic Reference: EUR 11035 EN (1987) MF, 24 P., BFR 150, BLOW-UP COPY BFR 200, EUROFFICE, LUXEMBOURG, POB 1003
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Record Number: 1989126014900 / Last updated on: 1989-03-01
Available languages: en