The Monte Carlo computation error of transition probabilities

In many applications one is interested to compute transition probabilities of a Markov chain. This can be achieved by using Monte Carlo methods with local or global sampling points. In this article, we analyze the error by the difference in the L2 norm between the true transition probabilities and t...

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Bibliographic Details

Published in:	Statistics & probability letters Vol. 118; pp. 163 - 170
Main Author:	Nielsen, Adam
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.11.2016
Subjects:	Computation error Markov operator Measurable state space Monte Carlo methods Reversible Markov chain Monte Carlo methods Reversible Markov chain Measurable state space Markov operator Computation error
ISSN:	0167-7152, 1879-2103
Online Access:	Get full text
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