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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Vydané v:	Statistics & probability letters Ročník 118; s. 163 - 170
Hlavný autor:	Nielsen, Adam
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Elsevier B.V 01.11.2016
Predmet:	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
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