• DocumentCode
    333200
  • Title

    Estimation of stationary densities for Markov chains

  • Author

    Glynn, Peter W. ; Henderson, Shane G.

  • Author_Institution
    Dept. of Eng.-Econ. Syst., Stanford Univ., CA, USA
  • Volume
    1
  • fYear
    1998
  • fDate
    13-16 Dec 1998
  • Firstpage
    647
  • Abstract
    We describe a new estimator of the stationary density of a Markov chain on general state space. The new estimator is easier to compute, converges faster, and empirically gives visually superior estimates than more standard estimators such as nearest-neighbour or kernel density estimators
  • Keywords
    Markov processes; Markov chains; general state space; stationary densities; stochastic system; visualization; Computational modeling; Convergence; Kernel; Operations research; State estimation; State-space methods; Steady-state; Stochastic systems; Systems engineering and theory; Visualization;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference Proceedings, 1998. Winter
  • Conference_Location
    Washington, DC
  • Print_ISBN
    0-7803-5133-9
  • Type

    conf

  • DOI
    10.1109/WSC.1998.745046
  • Filename
    745046
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=333200