Title: Variance Reduction Techniques in the Simulation of Markov Processes
Authors: LESSI Oliviero
Publisher: European Commission
Publication Year: 1987
JRC N°: JRC4850
Other Identifiers: EUR 11035 EN
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC4850
Type: EUR - Scientific and Technical Research Reports
Abstract: 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.
JRC Institute:Joint Research Centre Historical Collection

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